[Uwgarp-commits] r133 - in pkg/GARPFRM: R demo

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

Author: rossbennett34
Date: 2014-03-26 05:27:50 +0100 (Wed, 26 Mar 2014)
New Revision: 133

Added:
   pkg/GARPFRM/demo/backtest_VaR.R
Modified:
   pkg/GARPFRM/R/backTestVaR.R
   pkg/GARPFRM/demo/00Index.txt
Log:
Adding demo for VaR backtesting. Fixing bug in bootstrap VaR backtest

Modified: pkg/GARPFRM/R/backTestVaR.R
===================================================================
--- pkg/GARPFRM/R/backTestVaR.R	2014-03-26 03:16:35 UTC (rev 132)
+++ pkg/GARPFRM/R/backTestVaR.R	2014-03-26 04:27:50 UTC (rev 133)
@@ -97,7 +97,9 @@
       for(i in window:n){
         tmpR <- R[(i-window+1):i,]
         # compute VaR estimate
-        est[(i-window+1), j] <- bootVaR(R=tmpR, p=p, method=method[j], portfolio_method="single", replications=replications, parallel=bootParallel)
+        est[(i-window+1), j] <- bootVaR(R=tmpR, 
+                                        ...=pairlist(p=p, method=method[j], portfolio_method="single"), 
+                                        replications=replications, parallel=bootParallel)[1,]
       }
     }
   } else {

Modified: pkg/GARPFRM/demo/00Index.txt
===================================================================
--- pkg/GARPFRM/demo/00Index.txt	2014-03-26 03:16:35 UTC (rev 132)
+++ pkg/GARPFRM/demo/00Index.txt	2014-03-26 04:27:50 UTC (rev 133)
@@ -3,4 +3,5 @@
 demo_EWMA_GARCH11.R demonstrate exponentially weighted moving average and GARCH models
 EWMA.R demonstrate exponentially weighted moving average model
 monte_carlo.R demonstrate monte carlo method to simulate asset price paths
-univariate_GARCH.R demonstrate fitting a GARCH model to a univariate data set
\ No newline at end of file
+univariate_GARCH.R demonstrate fitting a GARCH model to a univariate data set
+backtest_VaR.R demonstrate Value at Risk backtesting
\ No newline at end of file

Added: pkg/GARPFRM/demo/backtest_VaR.R
===================================================================
--- pkg/GARPFRM/demo/backtest_VaR.R	                        (rev 0)
+++ pkg/GARPFRM/demo/backtest_VaR.R	2014-03-26 04:27:50 UTC (rev 133)
@@ -0,0 +1,38 @@
+library(GARPFRM)
+
+data(crsp_weekly)
+R <- largecap_weekly
+
+# Run a VaR backtest on MSFT returns
+# Compute VaR estimate using gaussian, historical, and modified methods
+backtest <- backtestVaR(R[, "MSFT"], window=100, p=0.95, 
+                        method=c("gaussian", "historical", "modified"))
+backtest
+
+# get the VaR estimates
+head(getVaREstimates(backtest))
+
+# get the VaR violations
+head(getVaRViolations(backtest))
+
+# plot the VaR backtest
+plot(backtest, pch=18, legendLoc="topright")
+
+# Compare the historical VaR bootstrapped historical VaR estimates
+btHistorical <- backtestVaR(R[, "MSFT"], window=100, p=0.95, method="historical")
+
+btHistoricalBoot <- backtestVaR(R[, "MSFT"], window=100, p=0.95, 
+                                method="historical", replications=100, 
+                                bootstrap=TRUE)
+
+btHistorical
+btHistoricalBoot
+
+# plot the historical and boostrapped historical VaR backtest
+plot(btHistorical, colorset="blue")
+lines(getVaREstimates(btHistoricalBoot), col="red")
+legend("topright", legend=c("returns", "Historical VaR (0.05)", 
+                            "Boot Historical VaR (0.05)"), 
+       lty=rep(1,3), col=c("black", "blue", "red"), bty="n", cex=0.75)
+
+