[R-SIG-Finance] how to get next trading day's VaR

deng yishuo dengyishuo at 163.com
Thu Jan 28 08:31:59 CET 2010



Dear folks!

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 = 25, 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))

In this example,as you can see we have already known the return rate from
1987-03-10 to 2009-01-30
I wonder how can we kown the next trading day's VaR after  2009-01-30.

Thanks!



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