[R-SIG-Finance] VaRTest in rugarch package version 1.4.9 returns NaN

[Ayla]

Hi Alexios,

I tried the var_cp_test from the new package and they work just fine. I
will also look into tsgarch.
Thanks for your support!

Best,
Ayla


Am Do., 18. Mai 2023 um 17:29 Uhr schrieb alexios galanos <
alexios using 4dscape.com>:

> Hi Ayla,
>
> That’s been a problem with the implementation of the VaR test for some
> time with large data due
> to underflow. I’ll look into fixing this in the next release, but in the
> meantime you can try the
> new  package for time series tests which fixes this problem :
> https://github.com/tsmodels/tstests
>
> Most of rugarch has already been re-written/ported to tsgarch and the
> tests in rugarch
> to tstests.
>
> Example:
>
> ####
> library(tstests)
>
> # load the data
> filename = "bugreport_var_test_var.csv"
> var = read.csv(file = filename)
> filename = "bugreport_var_test_log_reg.csv"
> data = read.csv(file = filename)
>
> # try the test with full data
> print(var_cp_test(data[,1], var[,1], 0.05))
>
> Value at Risk Tests (Christoffersen and Pelletier)
> Hypothesis(H0) : Unconditional(UC), Independent(CCI), Joint Coverage(CC)
> and Duration(D)
>
>             DoF  Chisq Pr(>Chisq)
> Kupiec (UC)   1  3.414  6.466e-02   .
> CP (CCI)      1 15.113  1.013e-04 ***
> CP (CC)       2 18.527  9.484e-05 ***
> CP (D)        1 30.013  4.291e-08 ***
>
> ---
> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
>
> Coverage        : 0.05
> Obs.            : 3419
> Failures        : 195
> E[Failures]     : 170
>
>
>
> Alexios
>
> > On May 18, 2023, at 1:49 AM, Ayla via R-SIG-Finance <
> r-sig-finance using r-project.org> wrote:
> >
> > Dear contributors, dear Alexios Galanos,
> >
> > I'm using the rugarch package version 1.4.9 to backtest a calculated
> value
> > of risk vector against my log returns with the VaRTest function from the
> > package.
> >
> > However, in some situations, the test returns NA. I found an example
> where
> > the test returns NA for the full vector of VaRs and log returns but when
> I
> > perform the test without the very last value in the vector, it returns an
> > output.
> > It does not help to put the data and the VaR explicitly to numeric
> > (`as.numeric()`).
> >
> > Data for the example can be found here:
> >
> https://drive.google.com/file/d/1YAvWpDJT93PnVDrvHuMZoBmQ8BEnB2cu/view?usp=sharing
> > and here:
> >
> https://drive.google.com/file/d/1qPQXOqZL9lancBnW_q2aa_I75wd5loTM/view?usp=share_link
> >
> > This is my code:
> >
> > ```
> > ## load data
> > rm(list = ls())
> >
> > require(rugarch)
> >
> > # load the data
> > filename = "bugreport_var_test_var.csv"
> > var = read.csv(file = filename)
> > filename = "bugreport_var_test_log_reg.csv"
> > data = read.csv(file = filename)
> >
> > # try the test with full data
> > VaRTest(
> >  alpha=0.05,
> >  actual=data[,1],
> >  VaR=var[,1]
> > )
> >
> > # try the test without last data point
> > VaRTest(
> >  alpha=0.05,
> >  actual=data[1:(nrow(data)-1),1],
> >  VaR=var[1:(nrow(var)-1),1]
> > )
> > ```
> >
> > Thanks a lot in advance!
> > Best,
> > Ayla
> >
> >       [[alternative HTML version deleted]]
> >
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>

-- 
Ayla Augst
Winthirstraße 35a
80639 München
Tel.: 0176 61041527

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