Loss {MCS}

Matrix of Value at Risk losses coming from 10 ARCH-type models

Description

Matrix of Losses associated to a forecast series of 2000 observation of the VaR calculated at the 1 confidence level. This is a 2000*10 matrix, the losses are calculated using the Asymmetric Loss function of Gonzales et.al. (2004).

Usage

Loss

Format

a matrix object.

Author(s)

Leopoldo Catania, 2014-07-27

References

Gonzalez-Rivera G, Lee TH, Mishra S (2004). Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood." International Journal of Forecasting, 20(4), 629-645. ISSN 0169-2070. doi:http://dx.doi.org/10.1016/j.ijforecast.2003.10.003. URL http://www.sciencedirect.com/science/article/pii/S0169207003001420