var_test function

Value at Risk and Expected Shortfall Tests

The value at risk coverage and duration tests of Kupiec (1995) and Christoffersen and Pelletier (1998,2004), and expected shortfall test of Du and Escanciano (2017).

var_test(
  actual,
  forecast,
  x,
  alpha,
  lags = 1,
  boot = FALSE,
  n_boot = 2000,
  ...
)

Arguments

• actual: a series representing the actual value of the series in the out of sample period.
• forecast: the forecast values of the series at the quantile given by alpha (the forecast value at risk).
• x: the probability integral transformed series (pit).
• alpha: the quantile level used to calculate the forecast value at risk.
• lags: the numbers of lags to use for the conditional shortfall test.
• boot: whether to use bootstrap simulation for estimating the p-values of the conditional shortfall test.
• n_boot: the bootstrap replications used to calculate the p-value.
• ...: not currently used.

Returns

An object of class tstest.vares which has a print and as_flextable method.

Details

This is a condensed table of both the var_cp_test and shortfall_de_test.

References

\insertRef Kupiec1995tstests

\insertRef Christoffersen1998tstests

\insertRef Christoffersen2004tstests

\insertRef Du2017tstests