[R-SIG-Finance] rugarch - VaRloss, VaRTest and ESTest

[alexios galanos]

Hi Rafael,

VaRloss and VaRTest take the realized and conditional quantiles, whilst 
the ESTest takes the realized, conditional expected shortfall and 
conditional quantiles (as the help file example shows).

Here is a short script showing how VaRloss can be used:

################################################################
# ideally you want to test many models with different distributions
# for this example
library(xts)
library(rugarch)
data("sp500ret")
R = xts(as.numeric(sp500ret[,1]), as.Date(rownames(sp500ret)))
spec<-vector(mode="list", length=2)
spec[[1]]<-ugarchspec(mean.model = list(armaOrder=c(2,1)),
            variance.model=list(model="sGARCH"))
spec[[2]]<-ugarchspec(mean.model = list(armaOrder=c(2,1)),
                         variance.model=list(model="gjrGARCH"))

fitlist = vector(mode="list", length = 2)
for(i in 1:2){
tmp = ugarchroll(spec[[i]], R, n.ahead = 1, forecast.length = 1500, 
refit.every  = 50,refit.window = "moving", windows.size = 1500, solver = 
"hybrid",calculate.VaR = FALSE, keep.coef = FALSE)
if(!is.null(tmp at model$noncidx)){
tmp = resume(tmp, solver = "solnp", fit.control = list(scale=1),
solver.control = list(tol=1e-7, delta=1e-6), cluster = cluster)
if(!is.null(tmp at model$noncidx)) fitlist[[i]] = NA
} else{
fitlist[[i]] = as.data.frame(tmp, which  = "density")
}
}
## The cost of misspecification using VaR
qx1 = qx5 = matrix(NA, ncol = 2, nrow = 1500)
for(i in 1:2){
qx5[,i] = as.numeric(apply(fitlist[[i]], 1, function(x) qdist("norm", 
0.05, mu = x["Mu"],sigma = x["Sigma"], skew = x["Skew"], shape = 
x["Shape"])))
qx1[,i] = as.numeric(apply(fitlist[[i]], 1, function(x) qdist("norm", 
0.01, mu = x["Mu"],sigma = x["Sigma"], skew = x["Skew"], shape = 
x["Shape"])))
}
VL5 = apply(qx5, 2, function(x) VaRloss(0.05, fitlist[[1]][,"Realized"], x))
test <- mcsTest(VL5, 0.05, 5000, 1, "stationary")
################################################################

Regards,

Alexios

On 12/15/2017 4:09 AM, Rafael Bressan wrote:
> Hello,
> 
> someone, maybe Alexios even, could confirm what are the arguments to these
> functions?
> 
> I suspect that VaRloss and VaRTest the inputs are the actual realized
> RETURNS and corresponding lower quantiles for VaR,
> 
> while to ESTest it seems to be the opposite, the actual LOSSES and
> corresponding higher quantiles.
> 
> I checked the source code but still in doubt.
> 
> Thanks,
> Rafael
> 
> 	[[alternative HTML version deleted]]
> 
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