Value at Risk
Posted: Fri Jul 02, 2010 1:55 am
I try to validate VaR model with hypothesis:
Ho : model is valid if LR < CV
LR is likelihood ratio
CV is critical value (Chi-square distribution)
Question:
Can I say that this is similar with Goodness of Fit test, LR as calculated Chi-square and CV as table Chi-square(Chi-square stat)?
Please give me your opinion
Thank You
Regards
Marsillam Tambunan
Ho : model is valid if LR < CV
LR is likelihood ratio
CV is critical value (Chi-square distribution)
Question:
Can I say that this is similar with Goodness of Fit test, LR as calculated Chi-square and CV as table Chi-square(Chi-square stat)?
Please give me your opinion
Thank You
Regards
Marsillam Tambunan