Message-ID: <4E6C7E7E.2080904@4dscape.com>
Date: 2011-09-11T09:25:18Z
From: Alexios Ghalanos
Subject: VaR: results unreliable
In-Reply-To: <1315732645.4192.91.camel@brian-desktop>
What exactly does residuals(model1)/fitted(model1) represent?
If you want the standardized residuals then that would be:
residuals(model1)/sigma(model1).
The documentation clearly states what each method on the fitted object
represents (i.e. fitted returns the conditional mean, sigma the
conditional standard deviation etc).
Regards,
Alexios
On 11/09/2011 10:17, Brian G. Peterson wrote:
> On Sun, 2011-09-11 at 09:05 +0100, Papa Senyo wrote:
>> Dear All
>>
>> Please,my results using standardized residuals for VaR produced
>> unreliable results .Need some assistance?
>
> Thank you for including your code, but you'll also need to include (or
> link to) your data for us to evaluate why you are getting the answer you
> are getting. It is not a reproducible example without the data set.
>
> On Sun, 2011-09-11 at 09:05 +0100, Papa Senyo wrote:
>> VaR calculation produces unreliable result (risk over 100%) for
>> column: 1 : 177.289365852222
>> [,1]
>> VaR
>> -1
>
> Without seeing your data, I can only guess.
>
> One possible reason is that you are acting on prices and not returns.
> As stated clearly in the PerformanceAnalytics documentation, the VaR
> function uses returns, not prices.
>
> Regards,
>
> - Brian
>