Description Usage Arguments Details Value See Also
This function performs VaR backtesting and creates an S3 class object of backtesting results
1 | backtest(object, testLen.years = 1)
|
object |
an object of class |
testLen.years |
the window size of backtesting in years. |
Backtesting is performed by firstly compute the realized loss, and then calculate the rate that VaR is exceeded across the backtesting window.
An object of class "VaR.backtesting"
.
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