[R] rugarch package: VaRTest()
tr206 at kent.ac.uk
Sat Jul 29 16:11:00 CEST 2017
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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