tVaRPlot2DHP {Dowd} | R Documentation |

## Plots t VaR against holding period

### Description

Plots the VaR of a portfolio against holding period assuming that P/L are t- distributed, for specified confidence level and holding period.

### Usage

```
tVaRPlot2DHP(...)
```

### Arguments

`...` |
The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details. returns Vector of daily P/L data data mu Mean of daily P/L data data sigma Standard deviation of daily P/L data data df Number of degrees of freedom in the t distribution cl VaR confidence level and must be a scalar hp VaR holding period and must be a vector |

### Author(s)

Dinesh Acharya

### References

Dowd, K. Measuring Market Risk, Wiley, 2007.

### Examples

```
# Computes VaR given P/L data data
data <- runif(5, min = 0, max = .2)
tVaRPlot2DHP(returns = data, df = 6, cl = .95, hp = 60:90)
# Computes VaR given mean and standard deviation of return data
tVaRPlot2DHP(mu = .012, sigma = .03, df = 6, cl = .99, hp = 40:80)
```

[Package

*Dowd*version 0.12 Index]