trftest | R Documentation |

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

trftest(obj)

`obj` |
A list returned by the |

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.

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

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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