My suggestion is to inspect the VaRplot source code and, also with the help of
debug() if necessary,
you may verify how ylim results with your data.
> VaRplot
function (alpha, actual, VaR, title = paste("Daily Returns and Value-at-Risk
\nExceedances\n",
"(alpha=", alpha, ")", sep = ""), ylab = "Daily Log Returns",
xlab = "Time")
{
period = diff(index(actual))
if (attr(period, "units") == "mins") {
A = as.numeric(actual)
V = as.numeric(VaR)
ep <- axTicksByTime(actual)
plot(A, type = "n", main = title, ylab = ylab, xlab = xlab,
ylim = c(min(A, V), max(A, V)), ann = FALSE, xaxt = "n",
cex.main = 0.8, cex.lab = 0.9, cex.axis = 0.8)
...
}
else {
plot(index(actual), as.numeric(actual), type = "n", main = title,
ylab = ylab, xlab = xlab, ylim = c(min(actual, VaR),
max(actual, VaR)), ann = FALSE, cex.main = 0.8,
cex.lab = 0.9, cex.axis = 0.8)
....
}
return(invisible())
}
<environment: namespace:rugarch>
File: rugarch-plots.R
Good luck,
--
GG
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