[Uwgarp-commits] r160 - pkg/GARPFRM/vignettes

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2014-04-03 20:36:30 +0200 (Thu, 03 Apr 2014)
New Revision: 160

Modified:
   pkg/GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw
Log:
Adding content to vignette

Modified: pkg/GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw
===================================================================
--- pkg/GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw	2014-04-01 05:40:01 UTC (rev 159)
+++ pkg/GARPFRM/vignettes/QuantifyingVolatilityVaRModels.Rnw	2014-04-03 18:36:30 UTC (rev 160)
@@ -27,12 +27,10 @@
 \tableofcontents
 
 \section{Stochastic Behavior of Returns}
-TODO: Add content on returns
+Computing the Value-at-Risk (VaR) measure requires quantifying the tail of the distribution of returns. One approach is to assume the asset returns follow a specific distribution, for example a normal distribution. This requires assumptions about the parameters needed to characterize the distribution. A common distribution considered is the normal distribution. However, it is often seen that asset returns tend to depart from the normal distribution. Asset returns tend to be fat-tailed, skewed, and unstable.
 
 \subsection{The Distribution of Conoco Phillips Weekly Returns}
-TODO: Add content on returns
-
-Here we consider the weekly returns of Conoco Phillips (COP).
+Here we consider the weekly returns of Conoco Phillips (COP). We compare the empirical distribution to a normal distribution to better understand the characteristics of COP weekly returns. 
 <<>>=
 # Load the package and data
 library(GARPFRM)