Hi everyone!! I am new in R and I want to create a simple R function for
estimating historical-VaR. In y_IBM returns, there are 2300 observations. For
evaluation I take the next 2000 observations,
then I abandon the latest 300 observations. Firstly, I use the window which has
the fix
length and contains the observations from 1 to 2000 to estimate the VaR. At
first I take 2000 obs. and reorder these series in ascending order, from
smallest return to largest return. Each ordered return is assigned an index
value (1, 2, ...). At the 99% confidence level, the daily VaR under historical
simulation method equals the return corresponding to the index number
calculated as follows:
(1-0.99)*2000 (the number of our window) =20. The return corresponding to index
20 is the daily historical simulation VaR.
I repeat the first step except the window changes the observations from 2 to
2001. Such a process provides 300 one-step ahead VaR.
My function is:
VaR_foc <- function (returns, value = 1000, p = 0.01, n=251) {
T = length(returns)
x_foc = vector(length=n)
N = T-(n+1)
m=sort(returns[1:N])
op = as.integer(N*p) # p % smallest
for (i in 2:n) {
g= returns[i:(N+i)]
ys = sort(g) # sort returns
x_foc[[1]] = -m[op]*value # VaR number
x_foc[i] = -ys[op]*value
}
return(x_foc)
}
VaR_foc (returns=y_IBM)
But the fucntion doesn't work, Â can smbd help me wh
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