Garch VaR Backtest report in R





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I did a rolling Garch estimation and compared the actual data to it´s VaR



gjr_garch_roll <- ugarchroll(garch_spec, xts_Obs_per_gjr_return, n.start = 1000, refit.every = 1, 

                     refit.window = "moving", solver = "hybrid", calculate.VaR = TRUE, 

                     VaR.alpha = 0.01, keep.coef = TRUE) 





gjr_garch_roll

report(gjr_garch_roll, type = "VaR", VaR.alpha =0.01, conf.level = 0.99)


Even though the actual exceedance is higher than the expected the Null hypothesis of correct exceedance will not be rejected. Am I doing something wrong in my code?



alpha: 1%



Expected Exceed: 9.5



Actual VaR Exceed: 14



Actual %: 1.5%



Unconditional Coverage (Kupiec)



Null-Hypothesis: Correct Exceedances



LR.uc Statistic: 1.908



LR.uc Critical: 6.635



LR.uc p-value: 0.167



Reject Null: NO






r







share|improve this question





























    0















    I did a rolling Garch estimation and compared the actual data to it´s VaR



    gjr_garch_roll <- ugarchroll(garch_spec, xts_Obs_per_gjr_return, n.start = 1000, refit.every = 1, 
    
                     refit.window = "moving", solver = "hybrid", calculate.VaR = TRUE, 
    
                     VaR.alpha = 0.01, keep.coef = TRUE) 
    

    

    
gjr_garch_roll
    
report(gjr_garch_roll, type = "VaR", VaR.alpha =0.01, conf.level = 0.99)


    Even though the actual exceedance is higher than the expected the Null hypothesis of correct exceedance will not be rejected. Am I doing something wrong in my code?



    alpha: 1%



    Expected Exceed: 9.5



    Actual VaR Exceed: 14



    Actual %: 1.5%



    Unconditional Coverage (Kupiec)



    Null-Hypothesis: Correct Exceedances



    LR.uc Statistic: 1.908



    LR.uc Critical: 6.635



    LR.uc p-value: 0.167



    Reject Null: NO






    r







    share|improve this question

























      0












      0








      0








      I did a rolling Garch estimation and compared the actual data to it´s VaR



      gjr_garch_roll <- ugarchroll(garch_spec, xts_Obs_per_gjr_return, n.start = 1000, refit.every = 1, 
      
                     refit.window = "moving", solver = "hybrid", calculate.VaR = TRUE, 
      
                     VaR.alpha = 0.01, keep.coef = TRUE) 
      

      

      
gjr_garch_roll
      
report(gjr_garch_roll, type = "VaR", VaR.alpha =0.01, conf.level = 0.99)


      Even though the actual exceedance is higher than the expected the Null hypothesis of correct exceedance will not be rejected. Am I doing something wrong in my code?



      alpha: 1%



      Expected Exceed: 9.5



      Actual VaR Exceed: 14



      Actual %: 1.5%



      Unconditional Coverage (Kupiec)



      Null-Hypothesis: Correct Exceedances



      LR.uc Statistic: 1.908



      LR.uc Critical: 6.635



      LR.uc p-value: 0.167



      Reject Null: NO






      r







      share|improve this question














      I did a rolling Garch estimation and compared the actual data to it´s VaR



      gjr_garch_roll <- ugarchroll(garch_spec, xts_Obs_per_gjr_return, n.start = 1000, refit.every = 1, 
      
                     refit.window = "moving", solver = "hybrid", calculate.VaR = TRUE, 
      
                     VaR.alpha = 0.01, keep.coef = TRUE) 
      

      

      
gjr_garch_roll
      
report(gjr_garch_roll, type = "VaR", VaR.alpha =0.01, conf.level = 0.99)


      Even though the actual exceedance is higher than the expected the Null hypothesis of correct exceedance will not be rejected. Am I doing something wrong in my code?



      alpha: 1%



      Expected Exceed: 9.5



      Actual VaR Exceed: 14



      Actual %: 1.5%



      Unconditional Coverage (Kupiec)



      Null-Hypothesis: Correct Exceedances



      LR.uc Statistic: 1.908



      LR.uc Critical: 6.635



      LR.uc p-value: 0.167



      Reject Null: NO






      r




      r






      share|improve this question













      share|improve this question











      share|improve this question




      share|improve this question










      asked Nov 24 '18 at 12:17









      Elemer BögöziElemer Bögözi

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