chart.BarVaR {PerformanceAnalytics} | R Documentation

## Periodic returns in a bar chart with risk metric overlay

### Description

Plots the periodic returns in a bar chart overlayed with a risk metric calculation.

### Usage

    chart.BarVaR(R, width = 0, gap = 12, risk.line = TRUE, method = c("ModifiedVaR","VaR","StdDev"),
                 reference.grid = TRUE, xaxis = TRUE, main = "Title", ylab="Value", xlab="Date",
                 date.format = "%m/%y", xlim = NA, ylim = NA, lwd = 1, colorset =(1:12),
                 p=.99, lty = "13", all = FALSE, ...)

### Arguments

`R` | a vector, matrix, data frame, timeSeries or zoo object of asset returns
`width` | periods specified for rolling-period calculations. Note that VaR and Std Dev with width=0 are calculated from the start of the timeseries
`gap` | numeric number of periods from start of series to use to train risk calculation
`method` | one of StdDev, VaR, or ModifiedVaR, default ModifiedVaR
`p` | confidence level for `VaR` or `ModifiedVaR` calculation, default is .99
`risk.line` | if risk.line is set to `FALSE`, then this function just draws the underlying bar chart
`reference.grid` | if true, draws a grid aligned with the points on the x and y axes
`xaxis` | if true, draws the x axis
`main` | set the chart title, same as in `plot`
`ylab` | set the y-axis label, same as in `plot`
`xlab` | set the x-axis label, same as in `plot`
`date.format` | re-format the dates for the xaxis; the default is "%m/%y"
`xlim` | set the x-axis limit, same as in `plot`
`ylim` | set the y-axis limit, same as in `plot`
`lwd` | set the line width, same as in `plot`
`lty` | set the line type, same as in `plot`
`all` | if TRUE, calculates risk lines for each column given in R. If FALSE, only calculates the risk line for the first column
`colorset` | color palette to use, set by default to rational choices
`...` | any other passthru parameters

### Details

Note that `StdDev` and `VaR` are symmetric calculations, so a high and low measure will be plotted. `ModifiedVaR`, on the other hand, is assymetric and only a lower bound will be drawn.

### Value

Creates a plot of time on the x-axis and vertical lines for each period to indicate value on the y-axis. Overlays a line to indicate the value of a risk metric calculated at that time period.

### Note

### Author(s)

Peter Carl

### References

### See Also

`chart.TimeSeries`
`plot`
`VaR`
`VaR.CornishFisher`

### Examples

    data(edhec)
    chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns")
    chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns", method="VaR")
    chart.BarVaR(edhec[,"Funds.of.Funds",drop=FALSE], main="Monthly Returns", method="StdDev", n=36)

[Package PerformanceAnalytics version 0.9.5 Index]