trftest: Backtesting of Value-at-Risk via Traffic Light Test

In quarks: Simple Methods for Calculating and Backtesting Value at Risk and Expected Shortfall

Backtesting of Value-at-Risk via Traffic Light Test

Description

The Traffic Light Test, is applied to previously calculated Value-at-Risk series.

Usage

trftest(obj)

Arguments

obj	A list returned by the rollcast function, that contains a Value-at-Risk series; any other list that follows the name conventions of the rollcast function can be used as well.

Details

This function uses an object returned by the rollcast function of the quarks package as an input for the function argument obj. A list with different elements, such as the cumulative probabilities for the VaR series within obj, is returned. Instead of the list, only the traffic light backtesting results are printed to the R console.

Value

A list of class quarks is returned with the following elements.

model

selected model for estimation

method

selected method for estimation

p_VaR

cumulative probability of observing the number of breaches or fewer for (1 - p)100%-VaR

pot_VaR

number of exceedances for (1 - p)100%-VaR

p

coverage level for (1-p)100% VaR

Examples

prices <- DAX$price.close
returns <- diff(log(prices))
n <- length(returns)
nout <- 250 # number of obs. for out-of-sample forecasting
nwin <- 500 # window size for rolling forecasts
results <- rollcast(x = returns, p = 0.975, method = 'age', nout = nout,
                     nwin = nwin)
trftest(results)

quarks documentation built on Sept. 1, 2022, 1:06 a.m.