Error in plot for VaR

Hi, i am trying to run Pattons Code for Copula Methods from Forecasting Multivariate Time Series. I cant run the plot part of the VaR.

that is the error (Error using plot

Vectors must be the same length.)

the error is in this plot((1:T)',squeeze(outVAR(:,wstar,qq,1,1)),'r:','LineWidth',2)

how i can fix it?

%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% VALUE-AT-RISK AND EXPECTED SHORTFALL FROM COPULA-BASED MODELS
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% getting VaR and ES for a portfolio of these variables

% WARNING: THIS PART IS VERY SLOW

WW = [0;0.01;(0.05:0.05:0.95)';0.99;1];  % getting lots of weights, as this part is cheap once we have the siumulations
QQ = [0.001;0.005;0.01;0.05;0.1];  % quantiles to look at

muhat = rets1 - resids;  % conditional mean

sims = 5000;
outVAR = nan(T,2,length(WW),length(QQ),2,2);
tic;
for tt=1:T;
    U3 = 1-Gumbel_rnd(kappat(tt),sims);
    U4 = tdis_cdf(mvtrnd([[1,rhot(tt)];[rhot(tt),1]],1/theta8tvs(2),sims),1/theta8tvs(2));
    UUU = U3;
    UUU(:,:,2) = U4;
    EEE = nan(sims,2,2);
    YYY = nan(sims,2,2);
    for cc=1:2;
        for mm=1:2;
            EEE(:,mm,cc) = quantile(stdresids(:,mm),UUU(:,mm,cc),1);
            YYY(:,mm,cc) = muhat(tt,mm) + sqrt(hhat_opt(tt,mm))*EEE(:,mm,cc);  % simulated value for return
        end
        for ww=1:length(WW);
            w = WW(ww);
            pf = w*YYY(:,1,cc) + (1-w)*YYY(:,2,cc);
            pf2 = w*EEE(:,1,cc) + (1-w)*EEE(:,2,cc);
            outVAR(tt,cc,ww,:,1,1) = quantile(pf,QQ);                 % Value at Risk
            outVAR(tt,cc,ww,:,1,2) = quantile(pf2,QQ);                 % Value at Risk of the std resids (useful for seeing where the copula matters)
            
            for qq=1:length(QQ);
                temp124 = (pf<=quantile(pf,QQ(qq)));  % observations below this quantile
                if sum(temp124)>0
                    outVAR(tt,cc,ww,qq,2,1) = mean(pf(temp124));   % Expected Shortfall
                end
                temp124 = (pf2<=quantile(pf2,QQ(qq)));  % observations below this quantile
                if sum(temp124)>0
                    outVAR(tt,cc,ww,qq,2,2) = mean(pf2(temp124));   % Expected Shortfall
                end
            end
        end
    end
    if mod(tt,100)==0
        [tt,toc]
    end
end
toc  % takes about 3.88 hours for sims=5000

wstar = find(WW==0.5);
qq = find(QQ==0.01);
figure(2200+qq),subplot(2,1,1),plot((1:T)',squeeze(outVAR(:,wstar,qq,1,1)),'r:','LineWidth',2);hold on;
plot((1:T)',squeeze(outVAR(:,2,wstar,qq,1,1)),'b');
title(['Value-at-Risk from time-varying copula models, w=[',num2str(WW(wstar)),',',num2str(WW(wstar)),'], q=',num2str(QQ(qq))]);
legend('RotGumbel','Stud t');grid on;hold off;
set(gca,'XTick',jandates(1:2:end));
set(gca,'XTickLabel',datestr(datenum(datesYMD(jandates(1:2:end),1),datesYMD(jandates(1:2:end),2),datesYMD(jandates(1:2:end),3)),12));hold off;

Answer 1

[Himanshu]

Hello,

The error arises because the dimensions of the "outVAR" array do not align with the indices used in the "squeeze" function, causing mismatched vector lengths.

"wstar" (weight index) and "qq" (quantile index) are incorrectly applied to the copula model dimension (second dimension of "outVAR"), leading to a dimension mismatch when plotting.

To fix this, adjust the indexing to correctly reference the copula model dimension (1 or 2) and the weight/quantile indices. For example, replace "squeeze(outVAR(:,wstar,qq,1,1))" with "squeeze(outVAR(:,1,wstar,qq,1,1))" for the first copula model (RotGumbel) and "squeeze(outVAR(:,2,wstar,qq,1,1))" for the second (Stud t). Ensure all dimensions align.

Verify the dimensions of "outVAR" using "size(outVAR)" and confirm "wstar" and "qq" are valid indices for the weight and quantile dimensions.

I hope this helps.