[R-SIG-Finance] Back test report in Rugarch

[alexios ghalanos]

What are you having trouble understanding? The Null Hypothesis is 
clearly stated and the test also provides the 'decision' on whether to 
reject the Null at the given confidence level.
Type ?VaRTest if you want a more detailed description of what each 
parameter means, or read the vignette for a description of what the test 
does with the literature reference.
As to the backtest length "not changing", you do not state under which 
circumstances you experienced such as an error. From your code you 
requested a forecast length of 500 which is what you got in the 
resulting output.

-Alexios

On 02/05/2012 14:25, Papa sen wrote:
> Please find some sample codes:
>   rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1, forecast.length = 500,
>   refit.every = 25, refit.window = "recursive", parallel = TRUE,
>   parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp",
>   solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0),
>   calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05))
>
> report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level = 0.95)
> report(rollD, type="fpm")
>
>
>
> ________________________________
>   Da: John Kerpel<john.kerpel at gmail.com>
>
> Cc: "r-sig-finance at r-project.org"<r-sig-finance at r-project.org>
> Inviato: Mercoledì 2 Maggio 2012 15:09
> Oggetto: Re: [R-SIG-Finance] Back test report in Rugarch
>
>
> Are you using the ugarchroll method?  Show some code...
>
>
>
>
> Dear all,
>> Please I did backtesting using rugarch and got the following. Finding it difficult to make sense of out of the result.
>> Please any help would be appreciated. I need some few comments.  Also it appears that the backtest length does not change (i may be wrong)Find the output below:
>> VaR Backtest Report
>> ===========================================
>> Model:                          fGARCH-std
>> Backtest Length:        500
>> Data:
>> ==========================================
>> alpha:                          1%
>> Expected Exceed:        5
>> Actual VaR Exceed:      4
>> Actual %:                       0.8%
>> Unconditional Coverage (Kupiec)
>> Null-Hypothesis:        Correct Exceedances
>> LR.uc Statistic:        0.217
>> LR.uc Critical:         3.841
>> LR.uc p-value:          0.641
>> Reject Null:            NO
>> Conditional Coverage (Christoffersen)
>> Null-Hypothesis:        Correct Exceedances&
>>                                          Independence of Failures
>> LR.cc Statistic:        0.282
>> LR.cc Critical:         5.991
>> LR.cc p-value:          0.869
>> Reject Null:            NO
>> kind regards,
>> paps
>>         [[alternative HTML version deleted]]
>>
>>
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