[R] rugarch package: VaRTest()

[T.Riedle]

Dear all,

I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms.



Do I have to use positive values for VaR in the VaRTest() formula?



Thanks for your help.





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