Value at Risk Exceedances plot
Plot the VaR at a given coverage rate against the realized returns for the same period, highlighting the exceedances.
VaRplot(alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk
Exceedances\n","(alpha=", alpha,")",sep=""), ylab = "Daily Log Returns",
xlab = "Time")alpha |
The quantile (coverage) used for the VaR. |
actual |
An xts object of the realized returns. |
VaR |
An xts object of the forecast VaR, at the given coverage rate p, with the same index as the actual. |
title |
Plot title. |
xlab |
Plot x-axis label. |
ylab |
Plot y-axis label. |
Alexios Ghalanos
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