[R-SIG-Finance] rugarch package: VaR exceedances plot

T.Riedle tr206 at kent.ac.uk
Sun Dec 27 20:36:23 CET 2015

Dear all,

I am trying to backtest my VaR model in R using the rugarch package. Hence, I am trying to plot the VaR exceedances using following code from the rugarch package:

VaRplot(alpha=0.025,actual = returns,VaR = VaR,ylab = "daily log returns",xlab = "date")

Unfortunately, I get this error message and do not know the reason for this

Error in plot.window(...) : invalid 'ylim' value In addition: Warning message:

In as.double.xts(actual) : NAs introduced by coercion

If I take the ylim error message into account I get the error:

Error in VaRplot(alpha = 0.025, actual = returns, VaR = VaR, ylab = "daily log returns",  :

  unused argument (ylim = rangereturns)

I thought that it could be a mistake in my dataset. I converted the dataset into a xts object using following codes but this seems to be correct:



Does anyone have an idea? Many thanks in advance.

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