Back test report in Rugarch
Locked
 
|
Dear all,
Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: VaR Backtest Report =========================================== Model: fGARCH-std Backtest Length: 500 Data: ========================================== alpha: 1% Expected Exceed: 5 Actual VaR Exceed: 4 Actual %: 0.8% Unconditional Coverage (Kupiec) Null-Hypothesis: Correct Exceedances LR.uc Statistic: 0.217 LR.uc Critical: 3.841 LR.uc p-value: 0.641 Reject Null: NO Conditional Coverage (Christoffersen) Null-Hypothesis: Correct Exceedances & Independence of Failures LR.cc Statistic: 0.282 LR.cc Critical: 5.991 LR.cc p-value: 0.869 Reject Null: NO kind regards, paps [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
You have not followed the posting guid and provided a minimally
reproducible example. On Wed, 2012-05-02 at 13:03 +0100, Papa sen wrote: > Dear all, > Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. > Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: > VaR Backtest Report _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
Re: Back test report in Rugarch
|
In reply to this post by papa
Are you using the ugarchroll method? Show some code...
On Wed, May 2, 2012 at 7:03 AM, Papa sen <[hidden email]> wrote: > Dear all, > Please I did backtesting using rugarch and got the following. Finding it > difficult to make sense of out of the result. > Please any help would be appreciated. I need some few comments. Also it > appears that the backtest length does not change (i may be wrong)Find the > output below: > VaR Backtest Report > =========================================== > Model: fGARCH-std > Backtest Length: 500 > Data: > ========================================== > alpha: 1% > Expected Exceed: 5 > Actual VaR Exceed: 4 > Actual %: 0.8% > Unconditional Coverage (Kupiec) > Null-Hypothesis: Correct Exceedances > LR.uc Statistic: 0.217 > LR.uc Critical: 3.841 > LR.uc p-value: 0.641 > Reject Null: NO > Conditional Coverage (Christoffersen) > Null-Hypothesis: Correct Exceedances & > Independence of Failures > LR.cc Statistic: 0.282 > LR.cc Critical: 5.991 > LR.cc p-value: 0.869 > Reject Null: NO > kind regards, > paps > [[alternative HTML version deleted]] > > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
|
Please find some sample codes:
rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, refit.every = 25, refit.window = "recursive", parallel = TRUE, parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) report(rollD, type="fpm") ________________________________ Da: John Kerpel <[hidden email]> Cc: "[hidden email]" <[hidden email]> Inviato: Mercoledì 2 Maggio 2012 15:09 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Are you using the ugarchroll method? Show some code... Dear all, >Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. >Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: >VaR Backtest Report >=========================================== >Model: fGARCH-std >Backtest Length: 500 >Data: >========================================== >alpha: 1% >Expected Exceed: 5 >Actual VaR Exceed: 4 >Actual %: 0.8% >Unconditional Coverage (Kupiec) >Null-Hypothesis: Correct Exceedances >LR.uc Statistic: 0.217 >LR.uc Critical: 3.841 >LR.uc p-value: 0.641 >Reject Null: NO >Conditional Coverage (Christoffersen) >Null-Hypothesis: Correct Exceedances & > Independence of Failures >LR.cc Statistic: 0.282 >LR.cc Critical: 5.991 >LR.cc p-value: 0.869 >Reject Null: NO >kind regards, >paps > [[alternative HTML version deleted]] > > >_______________________________________________ >[hidden email] mailing list >https://stat.ethz.ch/mailman/listinfo/r-sig-finance >-- Subscriber-posting only. If you want to post, subscribe first. >-- Also note that this is not the r-help list where general R questions should go. > _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
What are you having trouble understanding? The Null Hypothesis is
clearly stated and the test also provides the 'decision' on whether to reject the Null at the given confidence level. Type ?VaRTest if you want a more detailed description of what each parameter means, or read the vignette for a description of what the test does with the literature reference. As to the backtest length "not changing", you do not state under which circumstances you experienced such as an error. From your code you requested a forecast length of 500 which is what you got in the resulting output. -Alexios On 02/05/2012 14:25, Papa sen wrote: > Please find some sample codes: > rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, > refit.every = 25, refit.window = "recursive", parallel = TRUE, > parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", > solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), > calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) > > report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) > report(rollD, type="fpm") > > > > ________________________________ > Da: John Kerpel<[hidden email]> > > Cc: "[hidden email]"<[hidden email]> > Inviato: Mercoledì 2 Maggio 2012 15:09 > Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch > > > Are you using the ugarchroll method? Show some code... > > > > > Dear all, >> Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. >> Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: >> VaR Backtest Report >> =========================================== >> Model: fGARCH-std >> Backtest Length: 500 >> Data: >> ========================================== >> alpha: 1% >> Expected Exceed: 5 >> Actual VaR Exceed: 4 >> Actual %: 0.8% >> Unconditional Coverage (Kupiec) >> Null-Hypothesis: Correct Exceedances >> LR.uc Statistic: 0.217 >> LR.uc Critical: 3.841 >> LR.uc p-value: 0.641 >> Reject Null: NO >> Conditional Coverage (Christoffersen) >> Null-Hypothesis: Correct Exceedances& >> Independence of Failures >> LR.cc Statistic: 0.282 >> LR.cc Critical: 5.991 >> LR.cc p-value: 0.869 >> Reject Null: NO >> kind regards, >> paps >> [[alternative HTML version deleted]] >> >> >> _______________________________________________ >> [hidden email] mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. If you want to post, subscribe first. >> -- Also note that this is not the r-help list where general R questions should go. >> > [[alternative HTML version deleted]] > > > > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions should go. _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
Re: Back test report in Rugarch
|
|
In reply to this post by papa
It looks like you got what you requested - 500 1 step ahead forecasts with
a VaR Test that seems to fit the data well. Check the literature for the defintions of the VaR Tests from Christoffersen/Kupiec et al. On Wed, May 2, 2012 at 8:25 AM, Papa sen <[hidden email]> wrote: > Please find some sample codes: > rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, > forecast.length = 500, > refit.every = 25, refit.window = "recursive", parallel = TRUE, > parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", > solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), > calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) > > report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = > 0.95) > report(rollD, type="fpm") > > > ------------------------------ > *Da:* John Kerpel <[hidden email]> > *A:* Papa sen <[hidden email]> > *Cc:* "[hidden email]" <[hidden email]> > *Inviato:* Mercoledì 2 Maggio 2012 15:09 > *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch > > Are you using the ugarchroll method? Show some code... > > On Wed, May 2, 2012 at 7:03 AM, Papa sen <[hidden email]> wrote: > > Dear all, > Please I did backtesting using rugarch and got the following. Finding it > difficult to make sense of out of the result. > Please any help would be appreciated. I need some few comments. Also it > appears that the backtest length does not change (i may be wrong)Find the > output below: > VaR Backtest Report > =========================================== > Model: fGARCH-std > Backtest Length: 500 > Data: > ========================================== > alpha: 1% > Expected Exceed: 5 > Actual VaR Exceed: 4 > Actual %: 0.8% > Unconditional Coverage (Kupiec) > Null-Hypothesis: Correct Exceedances > LR.uc Statistic: 0.217 > LR.uc Critical: 3.841 > LR.uc p-value: 0.641 > Reject Null: NO > Conditional Coverage (Christoffersen) > Null-Hypothesis: Correct Exceedances & > Independence of Failures > LR.cc Statistic: 0.282 > LR.cc Critical: 5.991 > LR.cc p-value: 0.869 > Reject Null: NO > kind regards, > paps > [[alternative HTML version deleted]] > > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > > > > > _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
|
In reply to this post by alexios
Dear alexios and kerpel,
Thanks so much for your comments. However, Alexios, I used the same codes and changed the backtest length =875 and yet got a report of 500 to be the backtest length. Kind regards, p.s ________________________________ Da: alexios ghalanos <[hidden email]> Cc: "[hidden email]" <[hidden email]> Inviato: Mercoledì 2 Maggio 2012 15:49 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch What are you having trouble understanding? The Null Hypothesis is clearly stated and the test also provides the 'decision' on whether to reject the Null at the given confidence level. Type ?VaRTest if you want a more detailed description of what each parameter means, or read the vignette for a description of what the test does with the literature reference. As to the backtest length "not changing", you do not state under which circumstances you experienced such as an error. From your code you requested a forecast length of 500 which is what you got in the resulting output. -Alexios On 02/05/2012 14:25, Papa sen wrote: > Please find some sample codes: > rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500, > refit.every = 25, refit.window = "recursive", parallel = TRUE, > parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", > solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), > calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) > > report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) > report(rollD, type="fpm") > > > > ________________________________ > Da: John Kerpel<[hidden email]> > > Cc: "[hidden email]"<[hidden email]> > Inviato: Mercoledì 2 Maggio 2012 15:09 > Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch > > > Are you using the ugarchroll method? Show some code... > > > > > Dear all, >> Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result. >> Please any help would be appreciated. I need some few comments. Also it appears that the backtest length does not change (i may be wrong)Find the output below: >> VaR Backtest Report >> =========================================== >> Model: fGARCH-std >> Backtest Length: 500 >> Data: >> ========================================== >> alpha: 1% >> Expected Exceed: 5 >> Actual VaR Exceed: 4 >> Actual %: 0.8% >> Unconditional Coverage (Kupiec) >> Null-Hypothesis: Correct Exceedances >> LR.uc Statistic: 0.217 >> LR.uc Critical: 3.841 >> LR.uc p-value: 0.641 >> Reject Null: NO >> Conditional Coverage (Christoffersen) >> Null-Hypothesis: Correct Exceedances& >> Independence of Failures >> LR.cc Statistic: 0.282 >> LR.cc Critical: 5.991 >> LR.cc p-value: 0.869 >> Reject Null: NO >> kind regards, >> paps >> [[alternative HTML version deleted]] >> >> >> _______________________________________________ >> [hidden email] mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. If you want to post, subscribe first. >> -- Also note that this is not the r-help list where general R questions should go. >> > [[alternative HTML version deleted]] > > > > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions should go. _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
|
On Wed, 2012-05-02 at 15:35 +0100, Papa sen wrote:
> Thanks so much for your comments. However, Alexios, I used the same > codes and changed the backtest length =875 and yet got a report of 500 > to be the backtest length. without more information, I don't think we know how long your series is.... There is a certain minimum amount of data to make the model. -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
|
In reply to this post by papa
Have you checked your data and code carefully?
e.g. Does your data have 975+ points (875 for forecast and 100 for initializing the rolling estimation)? I can't replicate your error and it is likely that you have forgotten something: library(rugarch) data(sp500ret) spec=ugarchspec() rollD2 = ugarchroll(spec, data = as.numeric(sp500ret[1:975,1]), n.ahead = 1, forecast.length = 875, refit.every = 25, refit.window = "recursive", parallel = TRUE, parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD2, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) ################################ Backtest Length: 875 ################################ Please check your code VERY carefully before submitting. -Alexios On 02/05/2012 15:35, Papa sen wrote: > Dear alexios and kerpel, > Thanks so much for your comments. However, Alexios, I used the same > codes and changed the backtest length =875 and yet got a report of 500 > to be the backtest length. > Kind regards, > p.s > > ------------------------------------------------------------------------ > *Da:* alexios ghalanos <[hidden email]> > *A:* Papa sen <[hidden email]> > *Cc:* "[hidden email]" <[hidden email]> > *Inviato:* Mercoledì 2 Maggio 2012 15:49 > *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch > > What are you having trouble understanding? The Null Hypothesis is > clearly stated and the test also provides the 'decision' on whether to > reject the Null at the given confidence level. > Type ?VaRTest if you want a more detailed description of what each > parameter means, or read the vignette for a description of what the test > does with the literature reference. > As to the backtest length "not changing", you do not state under which > circumstances you experienced such as an error. From your code you > requested a forecast length of 500 which is what you got in the > resulting output. > > -Alexios > > On 02/05/2012 14:25, Papa sen wrote: > > Please find some sample codes: > > rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, > forecast.length = 500, > > refit.every = 25, refit.window = "recursive", parallel = TRUE, > > parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", > > solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), > > calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) > > > > report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level > = 0.95) > > report(rollD, type="fpm") > > > > > > > > ________________________________ > > Da: John Kerpel<[hidden email] <mailto:[hidden email]>> > > > > Cc: "[hidden email] > <mailto:[hidden email]>"<[hidden email] > <mailto:[hidden email]>> > > Inviato: Mercoledì 2 Maggio 2012 15:09 > > Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch > > > > > > Are you using the ugarchroll method? Show some code... > > > > > > > > > > Dear all, > >> Please I did backtesting using rugarch and got the following. > Finding it difficult to make sense of out of the result. > >> Please any help would be appreciated. I need some few comments. Also > it appears that the backtest length does not change (i may be wrong)Find > the output below: > >> VaR Backtest Report > >> =========================================== > >> Model: fGARCH-std > >> Backtest Length: 500 > >> Data: > >> ========================================== > >> alpha: 1% > >> Expected Exceed: 5 > >> Actual VaR Exceed: 4 > >> Actual %: 0.8% > >> Unconditional Coverage (Kupiec) > >> Null-Hypothesis: Correct Exceedances > >> LR.uc Statistic: 0.217 > >> LR.uc Critical: 3.841 > >> LR.uc p-value: 0.641 > >> Reject Null: NO > >> Conditional Coverage (Christoffersen) > >> Null-Hypothesis: Correct Exceedances& > >> Independence of Failures > >> LR.cc Statistic: 0.282 > >> LR.cc Critical: 5.991 > >> LR.cc p-value: 0.869 > >> Reject Null: NO > >> kind regards, > >> paps > >> [[alternative HTML version deleted]] > >> > >> > >> _______________________________________________ > >> [hidden email] <mailto:[hidden email]> > mailing list > >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > >> -- Subscriber-posting only. If you want to post, subscribe first. > >> -- Also note that this is not the r-help list where general R > questions should go. > >> > > [[alternative HTML version deleted]] > > > > > > > > > > _______________________________________________ > > [hidden email] <mailto:[hidden email]> > mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R > questions should go. > > > _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
|
|
my data has 875 points
________________________________ Da: alexios ghalanos <[hidden email]> Cc: "[hidden email]" <[hidden email]> Inviato: Mercoledì 2 Maggio 2012 16:51 Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch Have you checked your data and code carefully? e.g. Does your data have 975+ points (875 for forecast and 100 for initializing the rolling estimation)? I can't replicate your error and it is likely that you have forgotten something: library(rugarch) data(sp500ret) spec=ugarchspec() rollD2 = ugarchroll(spec, data = as.numeric(sp500ret[1:975,1]), n.ahead = 1, forecast.length = 875, refit.every = 25, refit.window = "recursive", parallel = TRUE, parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) report(rollD2, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95) ################################ Backtest Length: 875 ################################ Please check your code VERY carefully before submitting. -Alexios On 02/05/2012 15:35, Papa sen wrote: > Dear alexios and kerpel, > Thanks so much for your comments. However, Alexios, I used the same > codes and changed the backtest length =875 and yet got a report of 500 > to be the backtest length. > Kind regards, > p.s > > ------------------------------------------------------------------------ > *Da:* alexios ghalanos <[hidden email]> > *Cc:* "[hidden email]" <[hidden email]> > *Inviato:* Mercoledì 2 Maggio 2012 15:49 > *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch > > What are you having trouble understanding? The Null Hypothesis is > clearly stated and the test also provides the 'decision' on whether to > reject the Null at the given confidence level. > Type ?VaRTest if you want a more detailed description of what each > parameter means, or read the vignette for a description of what the test > does with the literature reference. > As to the backtest length "not changing", you do not state under which > circumstances you experienced such as an error. From your code you > requested a forecast length of 500 which is what you got in the > resulting output. > > -Alexios > > On 02/05/2012 14:25, Papa sen wrote: > > Please find some sample codes: > > rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, > forecast.length = 500, > > refit.every = 25, refit.window = "recursive", parallel = TRUE, > > parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp", > > solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0), > > calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05)) > > > > report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level > = 0.95) > > report(rollD, type="fpm") > > > > > > > > ________________________________ > > Da: John Kerpel<[hidden email] <mailto:[hidden email]>> > > > > Cc: "[hidden email] > <mailto:[hidden email]>"<[hidden email] > <mailto:[hidden email]>> > > Inviato: Mercoledì 2 Maggio 2012 15:09 > > Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch > > > > > > Are you using the ugarchroll method? Show some code... > > > > > > > > > > Dear all, > >> Please I did backtesting using rugarch and got the following. > Finding it difficult to make sense of out of the result. > >> Please any help would be appreciated. I need some few comments. Also > it appears that the backtest length does not change (i may be wrong)Find > the output below: > >> VaR Backtest Report > >> =========================================== > >> Model: fGARCH-std > >> Backtest Length: 500 > >> Data: > >> ========================================== > >> alpha: 1% > >> Expected Exceed: 5 > >> Actual VaR Exceed: 4 > >> Actual %: 0.8% > >> Unconditional Coverage (Kupiec) > >> Null-Hypothesis: Correct Exceedances > >> LR.uc Statistic: 0.217 > >> LR.uc Critical: 3.841 > >> LR.uc p-value: 0.641 > >> Reject Null: NO > >> Conditional Coverage (Christoffersen) > >> Null-Hypothesis: Correct Exceedances& > >> Independence of Failures > >> LR.cc Statistic: 0.282 > >> LR.cc Critical: 5.991 > >> LR.cc p-value: 0.869 > >> Reject Null: NO > >> kind regards, > >> paps > >> [[alternative HTML version deleted]] > >> > >> > >> _______________________________________________ > >> [hidden email] <mailto:[hidden email]> > mailing list > >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > >> -- Subscriber-posting only. If you want to post, subscribe first. > >> -- Also note that this is not the r-help list where general R > questions should go. > >> > > [[alternative HTML version deleted]] > > > > > > > > > > _______________________________________________ > > [hidden email] <mailto:[hidden email]> > mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R > questions should go. > > > _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. |
«
Return to Rmetrics
|
1 view|%1 views
Loading...
| Powered by Nabble | Edit this page |