ChristoffersenBacktestForIndependence: Christoffersen Backtest for Independence

Description Usage Arguments Value Author(s) References Examples

View source: R/ChristoffersenBacktestForIndependence.R

Description

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

Usage

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Arguments

Ra

Vector of portfolio profit and loss observations

Rb

Vector of corresponding VaR forecasts

cl

Confidence interval for

Value

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

Author(s)

Dinesh Acharya

Dinesh Acharya

References

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

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

Examples

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# 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)

Example output

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.