simuldatip.m

来自「统计工具软件」· M 代码 · 共 35 行

function [svar] = simuldatip(DR,RC,X,delta,valuta,legame,vm,t,tipo,rendimento)

%SIMULDATIP	simulvar estimation changing the numbers of data and of p.
%
%	[svar] = simuldatip(DR,RC,X,delta,valuta,legame,vm,t,tipo,rendimento) 
%   calculates historical simulation VaR reducing the number of data to the
%   minimum of 150 and the confidence level p.
%
%	All data must be in columns.
%
%	See SIMULVAR
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]

n = size(X,1);

for i=1:n-150
	for j=1:20
		p=0.79+j/100;
		svar(i,j)=simulvar(DR,RC(i:n,:),X(i:n,:),delta,valuta,legame,vm,t,p,tipo,rendimento);
	end
end
d=1:n-150;
p=0.80:0.01:0.99;
mesh(p,d,svar)
title('Historical simulation VaR')
ylabel('number of days eliminated')
xlabel('probability')
zlabel('VaR')