Backtesting Value at Risk

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Backtesting Value at Risk

Postby sud_93 » Tue Aug 28, 2018 5:34 am


I am masters in finance student and currently working on my dissertation.
I am estimating and backtesting different Value at Risk Models on the ISEQ index. I have conducted the estimation using historical simulation and volatility weighted historical simulation.
In order to complete the analysis I am stuck on the problem of backtesting my results and was confused in terms of which test to conduct and if there is built in function in eviews that I can use for any of the below tests mentioned.
The three test I am interested is the simple traffic light test, Kupiec test, Christofferson's test of conditional coverage.
I have ran programs to estimate the VAR so would like to run a program for the backtest aswell.

Any help will be greatly appreciated.


EViews Gareth
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Re: Backtesting Value at Risk

Postby EViews Gareth » Tue Aug 28, 2018 7:35 am

None of those tests are built in.
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Re: Backtesting Value at Risk

Postby sud_93 » Thu Aug 30, 2018 12:33 am

Hi Gareth,

Thanks for the reply.

I have my VaR estimates, following from that I have used this program as the simplest version of a conditional coverage test

a = @recode(nvars_iseqr>iseqr, 1, na)

and sum the 1's under this code

s=@sum(nvars_iseqr>iseqr,"7/12/1999 8/22/2018")

Do you think this is the simplest approach to use as backtest or is there a program I can use for a kupiec test ?

Really appreciate any help


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