deltadati.m

统计工具软件

function [dvar] = deltadati(X,RF,RC,rendimento,legame,valuta,lambda,vm,t,p)

%DELTADATI	deltavar estimation changing the numbers of data.
%
%	[dvar] = deltadati(X,RF,RC,rendimento,legame,valuta,lambda,vm,t,p)
%   VaR of a portfolio with the delta-normal methods, reducing the
%   number of data used to the limit of 150.
%	Lambda is the weight in EWMA volatility forecast.
%
%	All the data must be in columns.
%
%	See DELTAVAR
%

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

n = size(X,1);

% calculation of mapping factors

[DX,DR,cambi,fattori,prezzi] = rendimenti(X,RF,RC,rendimento);
[deltav,dev,cor] = semplicecorr(DX,DR,legame);

% calculation of VaR reducing the number of data

for i=1:n-150
	[DX,DR,cambi,fattori,prezzi] = rendimenti(X(i:n,:),RF(i:n,:),RC(i:n,:),rendimento);
	if lambda == 1
			[delta,dev,cor] = semplicecorr(DX,DR,legame);
		else
			[delta,dev,cor,C] = ewmacorr(DX,DR,legame,lambda);
	end
	[dvar(i),dvarp] = deltavar(deltav,dev,cor,legame,valuta,cambi,vm,t,p);
end
d=1:n-150;
plot(d,dvar,'b')
title('Delta-normal VaR')
xlabel('Number of days eliminated')
ylabel('VaR')