[R-SIG-Finance] R Package for Backtesing VaR Estimates

[alexios ghalanos]

The rgarch package (on r-forge) implements (but does not export) the
exceedance tests of Kupiec ( unconditional ) and Christoffersen
( conditional ).

You can call it as follows:
rgarch:::.VaRreport("", "", "", p, actual, VaR, conf.level = 0.95)

where "p" is the quantile used (e.g. 0.05), "VaR" the actual predicted
VaR vector, and "actual" the realized returns vector.

For a more general test on the predictive distribution have a look at
the 'BerkowitzLR' function which is exported.

Regards,

Alexios Ghalanos



On Sat, 2011-03-12 at 05:37 -0800, johnmwamba wrote:
> Hi everybody'
> I have VaR estimates computed with different methodologies using
> PerformanceAnalytics package. I divided my sample space into two - the
> in-sample and the out-sample. I now want to backtest my VaR estimates in the
> out-sample space; using for example the number of exceedances (i.e. truely
> observed losses that are greater than the VaR estimates in that out-sample
> space). Is there any package I can use? 
> Thank you very much for helping
> 
> 
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