Message-ID: <46CADC9E.6040406@braverock.com>
Date: 2007-08-21T12:37:50Z
From: Brian G. Peterson
Subject: pointers on using VaR.gpd with return series?
Does anyone have any hints on utilizing VaR.gpd on return series instead
of price series?
I have tried converting a return series to a wealth index (using
cumprod), but this still seems to cause problems with the VaR package.
for example:
library(PerformanceAnalytics)
data(edhec)
wi<-cumprod.column(1+edhec)
library(VaR)
vt<-VaR.gpd(wi[,1])
Error in optim(init, gpd.liklhd, hessian = TRUE, method = "Nelder-Mead") :
non-finite finite-difference value [2]
In addition: There were 50 or more warnings (use warnings() to see the
first 50)
A message to the maintainer of the package has without response.
If I don't get any usable feedback, I'll probably move to using fit.GPD
from QRMlib (which I have had some luck with in the past) to add a
general Pareto method to the VaR functions in PerformanceAnalytics, as I
feel that parametric VaR functions on a broader set of distributions and
copulae should be more widely available.
Regards,
- Brian