Description Usage Arguments Value Author(s) References Examples

View source: R/ChristoffersenBacktestForIndependence.R

Carries out the Christoffersen backtest of independence for a VaR risk measurement model, for specified VaR confidence level.

1 | ```
ChristoffersenBacktestForIndependence(Ra, Rb, cl)
``` |

`Ra` |
Vector of portfolio profit and loss observations |

`Rb` |
Vector of corresponding VaR forecasts |

`cl` |
Confidence interval for |

Probability that given the data set, the null hypothesis (i.e. independence) is correct.

Dinesh Acharya

Dinesh Acharya

Dowd, K. Measuring Market Risk, Wiley, 2007.

Christoffersen, P. Evaluating Interval Forecasts. International Economic Review, 39(4), 1992, 841-862.

1 2 3 4 5 | ```
# Has to be modified with appropriate data:
# Christoffersen Backtest For Independence for given parameters
a <- rnorm(1*100)
b <- abs(rnorm(1*100))+2
ChristoffersenBacktestForIndependence(a, b, 0.95)
``` |

```
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0
```

Dowd documentation built on May 30, 2017, 1:30 a.m.

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