Backtesting

[sherryw]

Hi Guys
I am currently doing my dissertation on VaR forecasting. I was be able to get VaR series using Garch model, now I have to do back testing to exam the accuracy of my estimation. My problem is that I was not be able to find any test related to back testing in eviews. The test I want to run is Conditional Coverage test. is it available in eviews? How to use it? Please help! thx a lot!
BTW Im using eviews8

[EViews Rebecca]

There are no built-in backtesting routines in EViews.

[CharlieEVIEWS]

I think a common strategy for masters level dissertations in this field is to just create something like an 'indicator' variable which counts the number of times actual losses exceed the maximum losses suggested by the VaR forecast, and then compare this with some threshold values? It's possible this is suggested by Basel II (I think - terrible memory). This will probably involving you writing your own program to do this automatically if youre using any kind of rolling or recursive VaR estimations. You can then use these vectors of 1's and 0's in more complex testing strategies, which I anticipate you'll have to code yourself.

Charlie