[R-SIG-Finance] R-SIG-Finance Digest, Vol 108, Issue 12

[alexios ghalanos]

The reason you have an error is that you have not followed my instructions.

Your code:
##################
f = function(x, mu, sigma, skew, shape) mu + qdist("nig", p=0.05, mu=0, 
sigma=1, skew=skew, shape=shape)*sigma
##################
But I this is not what I sent you, and makes absolutely no sense (you 
want to integrate this quantile over the range 0-alpha).

Instead you should have used:
##################
f = function(x, mu, sigma, skew, shape) mu + qdist("nig", p=x, mu=0, 
sigma=1, skew=skew, shape=shape)*sigma
##################

Regards,
Alexios


On 14/05/2013 20:55, Alexandra Allexa wrote:
>
> Yes, I set N to the same length as my conditional forecasts.
>
> Here is the code and my data base is attached to the mail:
>