dapengde 谢谢!我想画PortfolioVaR的图像。
SP500 <- read.csv('GSPC.csv',header=TRUE)
DJI <- read.delim("/FRM/DJI.txt",header = TRUE)
IXIC <- read.csv('IXIC.csv',header = TRUE)
RUT <- read.csv('RUT.csv',header=TRUE)
Returns=data.frame(date=DJI[2:nrow(SP500),1],
SP500=log(SP500[2:nrow(SP500),5]/SP500[1🙁nrow(SP500)-1),5]),
DJI=log(DJI[2:nrow(DJI),5]/DJI[1🙁nrow(DJI)-1),5]),
IXIC=log(IXIC[2:nrow(IXIC),5]/IXIC[1🙁nrow(IXIC)-1),5]),
RUT=log(RUT[2:nrow(RUT),5]/RUT[1🙁nrow(RUT)-1),5]))
start <- which(DJI$Date=="2008/1/2")
end <- which(DJI$Date=="2009/12/31")
PortfolioVaR <- matrix(NA,nrow=504,ncol=2)
PortfolioVaR <- as.data.frame(PortfolioVaR)
for(i in 1:504){
a <- sort(Returns$SP500[(start-999):start],decreasing=TRUE)[990]
b <- sort(Returns$DJI[(start-999):start],decreasing=TRUE)[990]
c <- sort(Returns$IXIC[(start-999):start],decreasing=TRUE)[990]
d <- sort(Returns$RUT[(start-999):start],decreasing=TRUE)[990]
V <- abs(1000000a+1000000b+c1000000+d1000000)
PortfolioVaR[i,2]=as.numeric(V)
start=start+1
}
class(PortfolioVaR[,2])
start=which(DJI$Date=="2008/1/2")
for(i in 1:504){PortfolioVaR[i,1]=as.character.factor(DJI[start,1])
start=start+1}
class(PortfolioVaR[,2])
class(PortfolioVaR[,1])
colnames(PortfolioVaR) <- c("Date","VaR")