backtestVaR.GARCH: GARCH Model VaR Backtest

Description Usage Arguments Author(s) See Also

View source: R/backTestVaR.R

Description

Function for rolling estimate of GARCH model and VaR backtest

Usage

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backtestVaR.GARCH(garch, p = c(0.95, 0.99), nAhead = 1, refitEvery = 25,
  window = 100)

Arguments

garch

uvGARCH object create via uvGARCH

p

confidence level for the VaR estimate.

nAhead

number of steps ahead to forecast. (nAhead = 1 only supported)

refitEvery

number of periods the mode is refit

window

size of the moving window in the rolling VaR estimate.

Author(s)

Ross Bennett

See Also

ugarchroll


GARPFRM documentation built on May 31, 2017, 3:46 a.m.