Using Extreme Value Theory and Copulas to Evaluate Market Risk

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Luan Vardari 2018-12-29

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/437594-using-extreme-value-theory-and-copulas-to-evaluate-market-risk

评论： Stephan 2018-12-29

Data_GlobalIdx1.xlsx

Hi i have a problem with this code, can help anyone? In atach i send my data. in every time when i run code write "Undefined function or variable 'dates'."

>> % Import daily index closings
>> figure
plot(dates, ret2price(price2ret(Data)))
datetick('x')
xlabel('Date')
ylabel('Index Value')
title ('Relative Daily Index Closings')
legend(series, 'Location', 'NorthWest')
Undefined function or variable 'dates'.
 
>> figure
plot(dates, ret2price(price2ret(Data)))
datetick('x')
xlabel('Date')
ylabel('Index Value')
title ('Relative Daily Index Closings')
legend(series, 'Location', 'NorthWest')
Undefined function or variable 'dates'.
 
>> % Logarithmic returns
>> % # of returns (i.e., historical sample size)
>> index = 1;  % 1 = MSCI, 2 = EEM, 3 = FEM, 4 = IEMG, 5 = JFAM, 6 = LZEM, 7 = SCHE, 8 = VWO,
figure
plot(dates(2:end), returns(:,index))
datetick('x')
xlabel('Date')
ylabel('Return')
title('Daily Logarithmic Returns')
Undefined function or variable 'dates'.
 
>> figure
autocorr(returns(:,index))
title('Sample ACF of Returns')
Undefined function or variable 'returns'.
 
>> 

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Luan Vardari 2018-12-29

Data.xlsx

I whant to senctonize for this analyze my data, but i cant, can you help about this, below i sent link fir extreme value theory. I cant load my data for this function.

https://es.mathworks.com/help/econ/examples/using-extreme-value-theory-and-copulas-to-evaluate-market-risk.html