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

The problem is that sometimes there is no variation in your data for the 60-period window.

R> no_var <- rollapply(sample2.xts, 60, sd, by.column=TRUE)
R> any(no_var==0)
[1] TRUE
R> head(no_var[-(1:60),])
                  001034        001038 001055        001066 001109
1984-03-26 -0.0003322471 -0.0001498238      0 -0.0111818465      0
1984-03-27 -0.0003322471 -0.0001498238      0  0.0002076288      0
1984-03-28 -0.0003322471 -0.0545102488      0  0.0092900768      0
1984-03-29 -0.0199407074 -0.0565552432      0 -0.0183491390      0
1984-03-30  0.0192762133 -0.0023488011      0  0.0000000000      0
1984-04-02 -0.0003322471  0.0000000000      0  0.0560894683      0

I've committed a patch to PerformanceAnalytics on R-Forge (r3525) to allow the NaN to pass through the reaonableness check.