Backtesting Value at Risk
Posted: Tue Aug 28, 2018 5:34 am
Hi,
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.
Thanks
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.
Thanks