VaRSimTest: VaR Calculation and Coverage Test

In RMOPI: Risk Management and Optimization for Portfolio Investment

VaR Calculation and Coverage Test

Description

Calculate VaR with three method and implement unconditional and conditional coverage test.

Usage

VaRSimTest(data, method, alpha, fun, ...)

Arguments

data	vector of returns
method	the VaR method, one of "param", "hist" and "mc"
alpha	the VaR confidence level
fun	function calculating VaR, limited by method
...	the extra parameters of fun

Value

A list of VaR and coverage test outcome

References

Christoffersen P. F. 1998. "Evaluating Interval Forecasts", International Economic Review, 841-862. doi: 10.2307/2527341.

Kupiec PH. 1995. "Techniques for Verifying the Accuracy of Risk Measurement Models", The Journal of Derivatives, 3(2), 73-84. doi: 10.3905/jod.1995.407942.

Examples

swan <- rGarch(len = 30)
date <- as.Date("2015-01-01") + days(0:(length(swan) - 1))
tswan <- tibble(garch = swan, date = date)
tsswan <- as.xts(swan, date)
alpha = 0.05
num = 100000
mu = mean(tsswan)
sd = sd(tsswan)
VaRSimTest(tsswan, "mc", alpha , rnorm, 100000, mu, sd)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.