It looks like you got what you requested - 500 1 step ahead forecasts with
a VaR Test that seems to fit the data well.  Check the literature for the
defintions of the VaR Tests from Christoffersen/Kupiec et al.

On Wed, May 2, 2012 at 8:25 AM, Papa sen <papa.senyo@yahoo.it> wrote:

> Please find some sample codes:
>  rollD = ugarchroll(spec4, data = as.numeric(ret), n.ahead = 1,
> forecast.length = 500,
>  refit.every = 25, refit.window = "recursive", parallel = TRUE,
>  parallel.control = list(pkg = "snowfall", cores = 10), solver = "solnp",
>  solver.control = list(tol = 1e-05, delta = 1e-06, trace = 0),
>  calculate.VaR = TRUE, VaR.alpha = c(0.010, 0.05))
>
> report(rollD, type = "VaR", n.ahead = 1, VaR.alpha = 0.01, conf.level =
> 0.95)
> report(rollD, type="fpm")
>
>
>   ------------------------------
> *Da:* John Kerpel <john.kerpel@gmail.com>
> *A:* Papa sen <papa.senyo@yahoo.it>
> *Cc:* "r-sig-finance@r-project.org" <r-sig-finance@r-project.org>
> *Inviato:* Mercoledė 2 Maggio 2012 15:09
> *Oggetto:* Re: [R-SIG-Finance] Back test report in Rugarch
>
> 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
>        [[alternative HTML version deleted]]
>
>
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