Plot the VaR at a given coverage rate against the realized returns for the same period, highlighting the exceedances.
VaRplot(alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk
Exceedances\n","(alpha=", alpha,")",sep=""), ylab = "Daily Log Returns",
xlab = "Time")The quantile (coverage) used for the VaR.
An xts object of the realized returns.
An xts object of the forecast VaR, at the given coverage rate p, with the same index as the actual.
Plot title.
Plot x-axis label.
Plot y-axis label.
Alexios Ghalanos