Hello, I have a problem with calculating the VaR of stockfonds.
Here the stockfonds dataset: http://www.ci.tuwien.ac.at/~weingessel/FStat2006/stockfonds.csv library(VaR) library(fPortfolio) library(e1071) stock <- read.table("stockfonds.csv", header=TRUE, sep=",") tstock = ts(impute(stock[,2:6]), start=c(2004, 1), end=c(2006, 68), frequency=256) # imputing the NA's plot(tstock) tstock <- diff(tstock) apply(tstock,2,function(x) VaR(x,alpha=0.01)) # are these the right VaR's for the stockfonds? apply(tstock,2,function(x) VaR.norm(x,p=0.99)$VaR) # this doesnt work :( I want to calculate the same VaR as above, but under normal distribution And I also have a problem with the historical simulation. If I would invest 1000 dollars in one of these stockfonds on 2.5.2006, what would be the 99%VaR/1day under historical simulation. Is there a function for calculating this? I cant find something usefull on google :( KR, Alin [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
