GHADArevartimeplot

Download: GHADArevartimeplot.xpl
Code:
proc() = GHADArevartimeplot()
setsize(800,400)
x=read("fx") ; time series
y=diff(log(x[,1])) ; returns DEM/USD
; x = read("kupfer") ; German Bank portfolio
; y = diff(log(x))
VaR=VaRest(y) ; VaR 
VaRrma=VaRest(y,"RMA") ; VaR using RMA
VaRema=VaRest(y,"EMA") ; VaR using EMA
opt=VaRopt("EMA","exceed","red"|"cross"|"medium","color","green"|"blue","style","dashed"|"solid","size","thin"|"thin")
VaRtimeplot(y,VaRrma,VaRema,opt)
endp
library("VaR")
library("stats")
GHADArevartimeplot()






05.11.2004