ChristoffersenBacktestForIndependence: Christoffersen Backtest for Independence

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

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

Usage

ChristoffersenBacktestForIndependence(Ra, Rb, cl)

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

# 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 2, 2019, 10:16 a.m.