README.md
In YL92/multilevelVaRTest:
multilevelVaRTest
This function implements multilevel unconditional coverage tests of VaR forecasts for different quantiles. These tests achieve a higher statistical power then multiple unilevel tests.
Theory based on "Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests" by Leccadito, Bofelli & Urga (2014).
Code for the multilevel Christoffersen UC test is based on the function "VaRTest" from the "rugarch" package by Alexios Ghalanos.
YL92/multilevelVaRTest documentation built on May 31, 2019, 5:20 p.m.
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multilevelVaRTest
This function implements multilevel unconditional coverage tests of VaR forecasts for different quantiles. These tests achieve a higher statistical power then multiple unilevel tests.
Theory based on "Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests" by Leccadito, Bofelli & Urga (2014).
Code for the multilevel Christoffersen UC test is based on the function "VaRTest" from the "rugarch" package by Alexios Ghalanos.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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