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Value at Risk

Posted: Fri Jul 02, 2010 1:55 am
by marsillam_tambunan
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