[R-SIG-Finance] VaR: results unreliable

Brian G. Peterson brian at braverock.com
Sun Sep 11 11:17:24 CEST 2011


On Sun, 2011-09-11 at 09:05 +0100, Papa Senyo wrote:
> Dear All
> 
> Please,my results using standardized residuals for VaR produced
> unreliable results .Need some assistance? 

Thank you for including your code, but you'll also need to include (or
link to) your data for us to evaluate why you are getting the answer you
are getting.  It is not a reproducible example without the data set.

On Sun, 2011-09-11 at 09:05 +0100, Papa Senyo wrote:
> VaR calculation produces unreliable result (risk over 100%) for
> column: 1 : 177.289365852222
>  [,1]
> VaR
>  -1

Without seeing your data, I can only guess.

One possible reason is that you are acting on prices and not returns.
As stated clearly in the PerformanceAnalytics documentation, the VaR
function uses returns, not prices.
 
Regards,

  - Brian

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



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