Cross-posted, verbatim, on stackoverflow:
http://stackoverflow.com/q/15203347/271616
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2013: Applied Finance with R | www.RinFinance.com
On Mon, Mar 4, 2013 at 7:07 AM, Аскар Нысанов <nysanas...@mail.ru> wrote:
>
>
> 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, can smbd help me wh
>
> [[alternative HTML version deleted]]
>
>
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>
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