trftest {quarks} | R Documentation |
Backtesting of Value-at-Risk via Traffic Light Test
Description
The Traffic Light Test, is applied to previously calculated Value-at-Risk series.
Usage
trftest(obj)
Arguments
obj |
A list returned by the |
Details
This function uses an object returned by the rollcast
function
of the quarks
package as an input for the
function argument obj
. A list with different elements, such as
the cumulative probabilities for the VaR series within obj
,
is returned. Instead of the list, only the traffic light backtesting results
are printed to the R console.
Value
A list of class quarks
is returned with the following elements.
- model
selected model for estimation
- method
selected method for estimation
- p_VaR
cumulative probability of observing the number of breaches or fewer for (1 -
p
)100%-VaR- pot_VaR
number of exceedances for (1 -
p
)100%-VaR- p
coverage level for (1-
p
)100% VaR
Examples
prices <- DAX$price_close
returns <- diff(log(prices))
n <- length(returns)
nout <- 250 # number of obs. for out-of-sample forecasting
nwin <- 500 # window size for rolling forecasts
results <- rollcast(x = returns, p = 0.975, method = 'age', nout = nout,
nwin = nwin)
trftest(results)