Are you using the ugarchroll method?  Show some code...

On Wed, May 2, 2012 at 7:03 AM, Papa sen <papa.senyo@yahoo.it> wrote:

> 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
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>
>
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