[R-SIG-Finance] rugarch package / VaR Duration Test / Size Property

[TobiB]

Thank you for the quick response.

I tried a higher number of simulations (n.sim = 20,000). The results remain
unchanged:

res.DurTest.001 0.07050 # 0.1% Level
res.DurTest.01  0.25005 # 1% Level
res.DurTest.05  0.48870 # 5% Level
res.DurTest.10  0.61850 # 10% Level

If the length of the tested forecast-period is increased to fc.period =
20,000, the results become even worse:

res.DurTest.001 0.2660 # 0.1% Level
res.DurTest.01  0.5534 # 1% Level
res.DurTest.05  0.7736 # 5% Level
res.DurTest.10  0.8486 # 10% Level

You can replicate these results by using the codes above.



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