[R] rugarch package: VaR exceedances plot

[Giorgio Garziano]

My suggestion is to inspect the VaRplot source code and, also with the help of debug() if necessary,
you may verify how ylim results with your data.

> VaRplot
function (alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk \nExceedances\n",
    "(alpha=", alpha, ")", sep = ""), ylab = "Daily Log Returns",
    xlab = "Time")
{
    period = diff(index(actual))
    if (attr(period, "units") == "mins") {
        A = as.numeric(actual)
        V = as.numeric(VaR)
        ep <- axTicksByTime(actual)
        plot(A, type = "n", main = title, ylab = ylab, xlab = xlab,
            ylim = c(min(A, V), max(A, V)), ann = FALSE, xaxt = "n",
            cex.main = 0.8, cex.lab = 0.9, cex.axis = 0.8)
    ...
    }
    else {
        plot(index(actual), as.numeric(actual), type = "n", main = title,
            ylab = ylab, xlab = xlab, ylim = c(min(actual, VaR),
                max(actual, VaR)), ann = FALSE, cex.main = 0.8,
            cex.lab = 0.9, cex.axis = 0.8)
    ....
}
    return(invisible())
}
<environment: namespace:rugarch>

File: rugarch-plots.R

Good luck,

--
GG

	[[alternative HTML version deleted]]