Description Usage Arguments Value References Examples
View source: R/backtest_functions.R
Tests whether the mean of the exceedance residuals, respectively the mean of the standardized exceedance residuals is zero.
1 | er_backtest(r, q, e, s = NULL, B = 1000)
|
r |
A vector of returns. |
q |
A vector of Value-at-Risk forecasts. |
e |
A vector of Expected Shortfall forecasts. |
s |
A vector of volatility forecasts. |
B |
Number of bootstrap iterations |
Returns a list with the following components:
pvalue_twosided_simple
pvalue_onesided_simple
pvalue_twosided_standardized
pvalue_onesided_standardized
1 2 3 4 5 6 | data(risk_forecasts)
r <- risk_forecasts$r
q <- risk_forecasts$q
e <- risk_forecasts$e
s <- risk_forecasts$s
er_backtest(r = r, q = q, e = e, s = s)
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