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VaR: results unreliable
3 messages · Papa Senyo, Brian G. Peterson, Alexios Ghalanos
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
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
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