Empirical.Exercise <- function(y1, y2, Initial.Date="08/07/1996", Final.Date="24/03/2000")
{
################################################################################
#                                                                              #
#      Empirical Exercise Function by Breno de Andrade Pinheiro Néri           #
#                                                                              #
#            brenoneri@gmail.com        www.fgv.br/aluno/bneri                 #
#                                                                              #
#                                                   November, 2005 - Version 1 #
#                                                                              #
################################################################################
#                                                                              #
# This code generates the empirical exercise of the paper "Comparing           #
# Value-at-Risk Methodologies", by Lima, Luiz Renato and Breno Néri, 2005b.    #
#                                                                              #
# You enter a matrix (y1), with the dates in the first column and the returns  #
# in the second one, another matrix (y2), with four columns, one for each of   #
# the four analysed VaR methodology, a Initial.Date and a Final.Date.          #
#                                                                              #
# OBS: The code can be easily modified to handle (adapt the graphics format)   #
# more than four VaR methodologies!                                            #
#                                                                              #
# Defaults: Initial.Date="08/07/1996" and Final.Date="24/03/2000"              #
#                                                                              #
################################################################################
#                                                                              #
# You may use this code only if you accept the conditions:                     #
# (1) I am not liable for any problem caused by this code (i.e. you use it at  #
# your own risk);                                                              #
# (2) You must give me credit in your papers where this code has been used.    #
#                                                                              #
################################################################################

plots <- function(ts, text1, text2)
{
    readline(prompt="Please, Press Enter to Continue!")
    message(text <- paste(text1, text2))  
    print(summary(ts))
    message("Variance: ", var(ts))
    message("Skewness: ", skewness(ts))
    message("Kurtosis: ", kurtosis(ts))
    message("Range: ", max(ts)-min(ts))
    message("Length: ", length(ts))
    suppressWarnings(print(adf.test(ts)))
    print(jarque.bera.test(ts))
    layout(matrix(1:4, byrow=T, ncol=2))
    hist(ts, 100, main=paste("Histrogram:", text), xlab=text2, col="gray")
    plot(density(ts), main=paste("Empirical Density:", text))
    qqnorm(ts, main=paste("Normal Q-Q Plot:", text))
    boxplot(ts, main=paste("Box Plot:", text))
}

library(fBasics)
library(tseries)
source("BackTest.R")
n1 <- c(1:length(y1[,1]))[y1[,1]==Initial.Date]
n2 <- c(1:length(y1[,1]))[y1[,1]==Final.Date]
print(BackTest(ts1<-ts(y1[n1:n2,2]), y2[n1:(n2-249),1:4]))
ts2 <- ts(y2[n1:(n2-250),1:4], start=251)
layout(matrix(1:4, byrow=T, ncol=2))
for(i in 1:4)
{
    plot(ts1, main=paste(switch(i, "RiskMetrics", "Gaussian GARCH(1,1)", "Skewed Student-t APARCH(1,1)", "ARCH(1) Quantile"), "VaR(1%)"), ylab="Ibovespa Daily Return")
    lines(-ts2[,i], t="l", col="red", lty=2)
}
plots(ts1, "Ibovespa Daily", "Return")
for(i in 1:4) plots(ts2[,i], switch(i, "RiskMetrics", "Gaussian GARCH(1,1)", "Skewed-t APARCH(1,1)", "ARCH(1) Quantile"), "")
}