[R-SIG-Finance] var_cp_test in tsmodels/tstests returns subscript out of bounds error

[Ayla]

Dear contributors, dear Alexios Galanos,

as suggested by Alexios I'm using the var_cp_test from the tsmodels/tstests
package over the VaRTest in the rugarch package to backtest a calculated
value of risk vector against my log returns.

This works well in most cases.
However, in some situations, the test returns an subscript out of bounds
error. I found an example where the test returns no error for the full
vector of VaRs and log returns but when I perform the test without the
first value in the vector, it returns an error. There is no obvious reason
why.

Data for the example can be found here:
https://drive.google.com/file/d/1na5w-15U70RtRA6Mh2jpytDDCafacYHG/view?usp=sharing


This is my code:

```
if(!("tstests" %in% installed.packages())){
  remotes::install_github("tsmodels/tstests", dependencies = TRUE)
}
library(tstests)

## load the data
current_path = rstudioapi::getActiveDocumentContext()$path
project_folder = dirname(current_path)          # define the project folder
path
setwd(project_folder)                    # change current working directory

filename =
paste("report_bug_var_cp_test_subscript_out_of_bounds.csv",sep="")
df_bug = read.csv(file = filename)
rownames(df_bug) = df_bug[,1]
df_bug[,1] = NULL

## select forecast and actuals
forecast = df_bug[1:nrow(df_bug),"VaR"]
actual = df_bug[1:nrow(df_bug),"log_returns"]

## run the var_cp_test with full data
var_cp_test(
  actual=as.numeric(actual),
  forecast=as.numeric(forecast),
  alpha=(1-0.99),
)

## run the var_cp_test with all data but first values
forecast = df_bug[2:nrow(df_bug),"VaR"]
actual = df_bug[2:nrow(df_bug),"log_returns"]

var_cp_test(
  actual=as.numeric(actual),
  forecast=as.numeric(forecast),
  alpha=(1-0.99),
)

## error message:
# Error in `[.default`(tab, 2, 2) : subscript out of bounds
```

Thanks a lot in advance!
Best,
Ayla

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