plot.ufRisk

This function regulates how objects created by the package <code>ufRisk</code> are
plotted.

Enables the user to calculate Value at Risk (VaR) and Expected
Shortfall (ES) by means of various parametric and semiparametric
GARCH-type models. For the latter the estimation of the nonparametric scale
function is carried out by means of a data-driven smoothing approach. Model
quality, in terms of forecasting VaR and ES, can be assessed by means of
various backtesting methods such as the traffic light test for VaR and a
newly developed traffic light test for ES. The approaches implemented in
this package are described in e.g. Feng Y., Beran J., Letmathe S. and
Ghosh S. (2020) <https://ideas.repec.org/p/pdn/ciepap/137.html> as well as
Letmathe S., Feng Y. and Uhde A. (2021)
<https://ideas.repec.org/p/pdn/ciepap/141.html>.

Sebastian Letmathe

ufRisk

Risk Measure Calculation in Financial TS

Yuanhua Feng

Xuehai Zhang

Christian Peitz

Dominik Schulz

Shujie Li

plot.ufRisk function

<dl><dt>x</dt>
<dd>an input object of class <code>ufRisk</code>.</dd>
<dt>plot.option</dt>
<dd>plot choice for an object of class <code>ufRisk</code>; viable
choices are:<dl>
<dt>1</dt>
<dd>Plotting out-of-sample loss series</dd></dl></dd><dt>2</dt>
<dd>Plotting out-of-sample losses, VaR.v &amp; breaches</dd><dt>3</dt>
<dd>Plotting out-of-sample losses, VaR.e, ES &amp; breaches</dd>
</dl>Please note if no value is passed to <code>plot.option</code> a selection menu is
prompted; is set to <code>NULL</code> by default.
<dt>...</dt>
<dd>additional arguments of the standard plot method.</dd>

Arguments

<ul>
<li>Sebastian Letmathe (Scientific Employee) (Department of Economics,
Paderborn University) </li>
<li>Dominik Schulz (Research Assistant) (Department of Economics, Paderborn
University), </li>
</ul>

Author

Plot Method for the Package 'ufRisk' — plot.ufRisk

<dl>

<dt>x</dt>
<dd>an input object of class <code>ufRisk</code>.</dd>


<dt>plot.option</dt>
<dd>plot choice for an object of class <code>ufRisk</code>; viable
choices are:<dl>
<dt>1</dt>
<dd>Plotting out-of-sample loss series</dd>

<dt>2</dt>
<dd>Plotting out-of-sample losses, VaR.v &amp; breaches</dd>

<dt>3</dt>
<dd>Plotting out-of-sample losses, VaR.e, ES &amp; breaches</dd>


</dl>Please note if no value is passed to <code>plot.option</code> a selection menu is
prompted; is set to <code>NULL</code> by default.</dd>


<dt>...</dt>
<dd>additional arguments of the standard plot method.</dd>

</dl>

<ul>
<li>Sebastian Letmathe (Scientific Employee) (Department of Economics,
Paderborn University) </li>
<li>Dominik Schulz (Research Assistant) (Department of Economics, Paderborn
University), </li>
</ul>

plot.ufRisk: Plot Method for the Package 'ufRisk'

Description

Usage

Value

Arguments

Author