jTestVaR {jvnVaR}

VaR Back-testing

Description

Provide some kinds of test for Value at risk.

The null hypothesis is the equation of the probability of loss cross over VaR and the given ruin level.

It will show how the calculated VaR can be accepted.

See the report: Value at Risk.<researchgate.net>

Usage

jTestVaR(Ret, VaR, p, test_significant, type)

Arguments

Ret

Return series use to back-test.

VaR

Value at Risk that has been calculated.

p

Given probability used to calculate VaR

test_significant

Significant level of the test.

type

Kinds of test.

. p_value

. pof

. tuff

. mixkup

Details

See the report.

Value

Statistic,Quantile and test result.

Note

[e-mail]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
alpha <- 0.2
h <- 0
v <- jVaR('non_adjust_hist',s,alpha,h)
jTestVaR(s, v, alpha, 0.05, 'p_value')