Error estimating VaR, riskmetrics function?
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*******I'm trying to estimate VaR with riskmetrics function. Could anyone please help. My code:
load SP500;
SPX2r_star=SPX2r(SPX2r~=0);
SPX2rv=SPX2rv(SPX2r~=0);
DateID=DateID(SPX2r~=0);
R=1000;
load GJR_estimates_rolling_SP500
RV=reshape(SPX2rv,1,1,rows(SPX2rv));
RM_t = squeeze(riskmetrics(RV,0.94));
******I get the following error:
Undefined function or variable "T".
Error in riskmetrics (line 59)
endPoint = max(min(floor(log(.01)/log(lambda)),T),k);
Error in VaR_estimation_TV (line 48)
RM_t = squeeze(riskmetrics(RV,0.94));
*** *****riskmetrics function:
function Ht = riskmetrics(data,lambda,backCast)
switch nargin
case 2
backCast = [];
case 3
% nothing
otherwise
error('2 or 3 inputs required.')
end
if ndims(data)==2
[T,k] = size(data);
temp = zeros(k,k,T);
for t=1:T
temp(:,:,t) = data(t,:)'*data(t,:);
end
data = temp;
end
if lambda<=0 || lambda>=1
error('LAMBDA must be between 0 and 1.')
end
if isempty(backCast)
endPoint = max(min(floor(log(.01)/log(lambda)),T),k);
weights = (1-lambda).*lambda.^(0:endPoint-1);
weights = weights/sum(weights);
backCast = zeros(k);
for i=1:endPoint
backCast = backCast + weights(i)*data(:,:,i);
end
end
backCast = (backCast+backCast)/2;
if min(eig(backCast))<0
error('BACKCAST must be positive semidefinite if provided.')
end
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Ht = zeros(k,k,T);
Ht(:,:,1) = backCast;
for i=2:T
Ht(:,:,i) = (1-lambda)*data(:,:,i-1) + lambda * Ht(:,:,i-1);
end
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Brendan Hamm
le 6 Août 2015
Modifié(e) : Brendan Hamm
le 6 Août 2015
You try and use a variable T inside of this function, but you define T inside of an if statement. Therefore T only exists if
ndims(data)==2
but in the line:
RV=reshape(SPX2rv,1,1,rows(SPX2rv));
RV is clearly 3 dimensional and this is what you pass as the input to the data variable in your call to the riskmetrics function.
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