VaR.backtest {VaR}R Documentation

Backtest of VaR Estimation

Description

Test for given proportions on input data respective a given VaR.

Usage

VaR.backtest(x, VaR, p)

Arguments

x Numerical vector of observation.
VaR Number or numerical vector of the same length as x.
p Confidence level of VaR estimation.

Details

This function performs the test for equal or given proportion (prop.test) on input data. It calculates a part of observation exceeding a VaR and compares it with a confidence level of VaR estimation.

Value

Return value is a p.value of prop.test and can be interpretated in a usual manner.

Author(s)

T. Daniyarov

See Also

prop.test

Examples

data(exchange.rates)
attach(exchange.rates)
y <- USDJPY[!is.na(USDJPY)]
z <- VaR.norm(y)
VaR.backtest(z$cdata, z$VaR, p = 0.01)
detach(exchange.rates)

[Package VaR version 0.2 Index]