[R] rugarch package: VaR exceedances plot

T.Riedle tr206 at kent.ac.uk
Sat Dec 26 19:29:28 CET 2015

Dear all,

I am trying to backtest my VaR model in R using the rugarch package. Hence, I am trying to plot the VaR exceedances using following code from the rugarch package:

VaRplot(alpha=0.025,actual = returns,VaR = VaR,ylab = "daily log returns",xlab = "date")

Unfortunately, I get this error message and do not know the reason for this

Error in plot.window(...) : invalid 'ylim' value
In addition: Warning message:
In as.double.xts(actual) : NAs introduced by coercion

If I take the ylim error message into account I get the error:

Error in VaRplot(alpha = 0.025, actual = returns, VaR = VaR, ylab = "daily log returns",  : 
  unused argument (ylim = rangereturns)

Does anyone have an idea? Many thanks in advance.

-----Original Message-----
From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Giorgio Garziano
Sent: 25 December 2015 19:38
To: r-help at r-project.org
Subject: Re: [R] creating a xts object

Some hints at the following link where the "order.by requires an appropriate time-based object" error is commented.



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