[R-SIG-Finance] Question rugarch VaR plot

Private Private statquery at webmail.co.za
Wed May 15 12:30:50 CEST 2013


Dear All/Alexios Ghalanos

I have a question concerning the plot method of the ugarchroll class in the
package rugarch:

1.) When I plot the VaR of a ugarchroll class, I would like to change the
x-axis values to the dates corresponding to the log returns I feed ugarchroll
- how would I do that? I have tried adding additional arguments like: xaxt="n"
 - but to no avail. Right now the x-axis has values from 1978????

2.) Much along the same lines, How would I be able to change the default title
of the plot? 

Using the title() function just pastes over the default title and trying to
use the 'main' property of plot does not work. 

My goal is to have the dates on the x-axis reflect the returns that are being
graphed and also to have a heading which states with GARCH model is being
used. 

I would like have a VaR plot for each GARCH model I fit (ie. iGarch, EGarch)
and would like the title of the graph to reflect that and perhaps the
distribution I chose (ie. normal, t, skewed t).


Thank you very much for any help you can provide and I am a very grateful user
of the rugarch package.





Code follows and an example of the plot is attached:

library(rugrch)
data(sp500ret)

spec<-ugarchspec(variance.model = list(model = "sGARCH",
garchOrder = c(1, 1)),distribution.model = "norm")

roll<-ugarchroll(spec,data=data[,3],n.ahead = 1, 
	forecast.length = 100,refit.every=60,refit.window="moving",
	solver = "hybrid", calculate.VaR = TRUE, 
	VaR.alpha =0.01)

plot(roll,which=4,VaR.alpha=0.01)



____________________________________________________________
South Africas premier free email service - www.webmail.co.za 

For super low premiums, click here.
http://www.dialdirect.co.za/smart-can-get-a-parrot-hands-free-kit?vdn=15752



More information about the R-SIG-Finance mailing list