reply is inline
Hello Gaurav,
The function:
VaR(tstock[,2],alpha=0.01) # gives the same VaR as above with historical
simulation
VaR
-2.86
but i tried this function for normal distribution:
VaR.norm (tstock[,2],p=0.99)$VaR
Error in VaR.norm(tstock[, 2], p = 0.99) :
Negative
Hi Saore
***Please always mark a copy to the R-help list, it may be helpfull to
many, you have forgotten twice***
*** Do Reply to all with history ***
:-) cheers
YOU ARE THE BEST :)
I have some problems understanding R, but R and I will be friends in the
future hehe :)
I have another
Oh sry, I forgot to add the R-help list.
Thanks a lot for your help Guarav!
2007/5/11, [EMAIL PROTECTED] [EMAIL PROTECTED]:
Hi Saore
***Please always mark a copy to the R-help list, it may be helpfull to
many, you have forgotten twice***
*** Do Reply to all with history ***
:-) cheers
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]),
reply is inline
- Regards,
\\\|///
\\ -- //
( o o )
oOOo-(_)-oOOo
|
| Gaurav Yadav
| Assistant Manager, CCIL, Mumbai (India)
| Mob: +919821286118 Email: [EMAIL PROTECTED]
| Man is made by his belief, as He believes, so He is.
|
Have you looked at the 'VaR' package? If nothing in this package
seems adequate for your purposes, please provide minimal,
self-contained, reproducible code while explaining what it seems to
lack, etc., as suggested in the posting guide
www.R-project.org/posting-guide.html.
Hope
