The Traffic Light Test, is applied to previously calculated Value-at-Risk series.
A list returned by the
This function uses an object returned by the
quarks package as an input for the
obj. A list with different elements, such as
the cumulative probabilities for the VaR series within
is returned. Instead of the list, only the traffic light backtesting results
are printed to the R console.
A list of class
quarks is returned with the following elements.
selected model for estimation
selected method for estimation
cumulative probability of observing the number of
breaches or fewer for (1 -
number of exceedances for (1 -
coverage level for (1-
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)
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