Estimation of rolling Value at Risk (VaR) using R

Question

I need to perform rolling VaR estimation of daily stock returns. At first I did the following:

library(PerformanceAnalytics)
data(edhec)
sample<-edhec[,1:         


        

Answer 1

1) We can reproduce the warning using only VaR as follows:

> VaR(R = edhec[seq(25, length=60), 5], p = .95, method = "modified", invert = TRUE)
VaR calculation produces unreliable result (inverse risk) for column: 1 : -0.000203691774704274
    Equity Market Neutral
VaR                    NA

Try using a different method=.

> VaR(R = edhec[seq(25, length=60), 5], p = .95, method = "gaussian", invert = TRUE)
    Equity Market Neutral
VaR          -0.001499347

2) With "gaussian" I still got warnings on the real data set but no errors. Try experimenting with the other "method" argument values that are available as well. See ?VaR .

3) Note that by.column = TRUE can be omitted as it is the default.