rugarch (version 1.3-4)

VaRplot: Value at Risk Exceedances plot

Description

Plot the VaR at a given coverage rate against the realized returns for the same period, highlighting the exceedances.

Usage

VaRplot(alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk 
Exceedances","(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.}
[object Object]