[R] rugarch package: VaRTest()

T.Riedle tr206 at kent.ac.uk
Sat Jul 29 16:11:00 CEST 2017

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.

	[[alternative HTML version deleted]]

More information about the R-help mailing list