Value at Risk loss function of Gonzalez-Rivera, Lee, and Mishra (2004)

Description

Returns the VaR loss function described in Gonzalez-Rivera, Lee, and Mishra (2004) which is an appropriate function on which to compare models using such methods as the Model Confidence Set (MCS).

Usage

1
VaRloss(alpha, actual, VaR)

Arguments

alpha

The quantile (coverage) used for the VaR.

actual

A numeric vector of the actual (realized) values.

VaR

The numeric vector of VaR.

Author(s)

Alexios Ghalanos

References

Gonzalez-Rivera, G., Lee, T. H., and Mishra, S. 2004, Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. International Journal of Forecasting, 20(4), 629–645.

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