[R-SIG-Finance] How to extract all VaR values?

[Brian G. Peterson]

On list. Thanks. I'll take a look at it in a bit if no one beats me to it.

- Brian

-------- Original Message --------
Subject: 	Re:Re: [R-SIG-Finance] How to extract all VaR values?
Date: 	Sat, 23 Jan 2010 22:35:51 +0800 (CST)
From: 	邓一硕 <dengyishuo at 163.com>
To: 	Brian G. Peterson <brian at braverock.com>
References: 	<4B5B054F.5090207 at braverock.com> 
<1264255303705-1288195.post at n4.nabble.com>



library(rgarch)
data(sp500ret)
ctrl = list(RHO = 1,DELTA = 1e-9, MAJIT = 100,MINIT = 650,TOL = 1e-7)

spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), 
		mean.model = list(armaOrder = c(0,0), include.mean = TRUE), 
		distribution.model = "std")

sp500.bktest = ugarchroll(spec, data = sp500ret, n.ahead = 1, forecast.length = 100, 
		refit.every = 1, refit.window = "recursive", use.mclapply = FALSE, 
		solver = "solnp", fit.control = list(), solver.control = ctrl,
		calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.025, 0.05))

#Is there anyway for me to extract everyday's VaR values?




--
祝好！
----------
Regards,
YiShuo
--
YiShuo Deng
Phone: +86-(0)10-62264532
Mobile: +86-13651352627

School of Statistics,
Central University of Finance and Economics, Haidian District ,Beijing, 
100081, China


在2010-01-23 22:18:55，"Brian G. Peterson" <brian at braverock.com> 写道：
>deng yishuo wrote:
>> Hello,everyone!
>> I'm using "rgarch"(a very powerful package) now. 
>> And there is a problem for me.That is I don't  know how to  extract the VaR
>> values after 
>> I have caculated them using function ugarchroll().
>> Please help me!
>> Thank you so much! 
>>   
>It would be easier for people to help you if you construct some sample 
>data and the commands you use to get to where you're at right now.
>
>Then, anyone on the list can replicate the commands you use to get where 
>you are, and it is much easier to help you than to have to start from 
>scratch to replicate.
>
>Perhaps, for example, start from examples in the rgarch documentation, 
>and get the list to the same point you're at now.
>
>Regards,
>
>   - Brian
>
>-- 
>Brian G. Peterson
>http://braverock.com/brian/
>Ph: 773-459-4973
>IM: bgpbraverock
>
>




-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock