backtestVaR.GARCH: GARCH Model VaR Backtest
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Author(s)
See Also
Description
Function for rolling estimate of GARCH model and VaR backtest
Usage
1
2
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
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
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Description Usage Arguments Author(s) See Also
Description
Function for rolling estimate of GARCH model and VaR backtest
Usage
1 2 | backtestVaR.GARCH(garch, p = c(0.95, 0.99), nAhead = 1, refitEvery = 25,
window = 100)
|
Arguments
garch |
uvGARCH object create via |
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
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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