r != R (you mis-typed the first argument to VaR). This works:
library(PerformanceAnalytics)
data(sample_matrix)
x - Return.calculate(as.xts(sample_matrix))
VaR(R=x, p=0.99, method=historical)
Best,
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
On Tue, Jun 25, 2013 at 7:35 AM, G Girija girija...@gmail.com wrote:
The code is as follows:
monthreturns-read.zoo('monthlyReturn date.csv',sep=,,header=T)
monthreturns-as.xts(monthreturns,order.by
=index(monthreturns),frequency=NULL)*W0
head(monthreturns)
dim(monthreturns)
portnames-c('acc','cipla','cmc','idbi','ifci') portfolio names (5
stocks)
mu.vec-c(0.1,0.2,0.2,0.4,0.1)
names(mu.vec)-portnames
covmatr-cov(monthreturns,use='complete')
sigma.matr-sqrt(covmatr)
head(sigma.matr)
dim(sigma.matr)
library(PerformanceAnalytics)
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
*But here I am getting the following error: *
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
Error in VaR(r = monnthreturns, p = 0.99, method = historical, mu =
mu.vec, :
number of items in weights not equal to number of items in the mean vector
* *
*could anyone help*
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