CoVaR value evaluating at quantile CoVaR and quantile VaR.

Description

Calculate the conditional quantile or CoVaR with different type of Copula and marginal distribution. In this package several bivariate copula families are included for bivariate analysis. It provides functionality of elliptical (Gaussian and Student t) as well as Archimedean (Clayton, Gumbel, Frank, Plackett, BB1, SCJ, rotated clayton and rotated Gumbel) copulas to cover a large bandwidth of possible dependence structures.

Author

Andrea Ugolini andreaugolini@me.com \ Juan Carlos Reboredo Noguiera juancarlos.reboredo@usc.es

References

Reboredo, J. C., & Ugolini, A. (2016). Quantile dependence of oil price movements and stock returns. Energy Economics, 54, 33-49.

Example

RCoVaRCopula

load("Data_demo.Rdata") source("CoVaR.R") source("DynCopulaCoVaR.R") source("DynCopulaCoVaRUpper.R") source("skewtdis_inv.R") require("pracma") require("copula")

CoVaR Downside

CoVaR1part = CoVaR(0.05,0.05,par=par1_1,par2=par2_1,dof=tailBrazil,gamma=asyBrazil,cond.mean=meanBrasil1, cond.sigma=sigmaBrasil1,dist="tskew",type="Student")

CoVaR2part = CoVaR(0.05,0.05,par=par1_2,par2=par2_2,dof=tailBrazil,gamma=asyBrazil,cond.mean=meanBrasil2, cond.sigma=sigmaBrasil2,dist="tskew",type="Student")

CoVaR Upside

CoVaR1partUp = CoVaR(0.95,0.95,par=par1_1,par2=par2_1,dof=tailBrazil,gamma=asyBrazil,cond.mean=meanBrasil1, cond.sigma=sigmaBrasil1,dist="tskew",type="StudentUp")

CoVaR2partUp = CoVaR(0.95,0.95,par=par1_2,par2=par2_2,dof=tailBrazil,gamma=asyBrazil,cond.mean=meanBrasil2, cond.sigma=sigmaBrasil2,dist="tskew",type="StudentUp")

CoVaR1D = CoVaR1part$CoVaR CoVaR2D = CoVaR2part$CoVaR CoVaR1U = CoVaR1partUp$CoVaR CoVaR2U = CoVaR2partUp$CoVaR

TimeCoVaRD = rbind(CoVaR1D,CoVaR2D) TimeCoVaRU = rbind(CoVaR1U,CoVaR2U)

Plot

plot(as.matrix(TimeCoVaRD),type="l",col="blue", ylim=c(-0.5,0.5),xlab="Time",ylab="") lines(VaR,col="black",lty=2) lines(TimeCoVaRU,col="red",lty=4) lines(VaRup,col="green",lty=3) abline(h=0,col="gray33")

R Code CoVaR with Copula