vcVaR Function

Version 1.1.0.0 (10.9 KB) by Ali Najjar
Estimation value at risk by using Variance-Covariance Method.
4.0
(1)
404 Downloads
Updated 27 Aug 2012

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This function estimates the value at risk of portfolio composed of two stock prices and sketch related figures at two given confidence of levels.

Cite As

Ali Najjar (2024). vcVaR Function (https://www.mathworks.com/matlabcentral/fileexchange/32313-vcvar-function), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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vcVaR/

Version Published Release Notes
1.1.0.0

This update contains example of vcVaR()Arguments, P1, P2.
Just move P1 and P2 into Workspace and for example Run following command:
[VaR violation RP]=vcVaR(P1,P2,1000,0.5,[.95;.99])
1.0.0.0