R

时间:2018-11-24 12:17:29

标签: r

我进行了滚动Garch估计,并将实际数据与其VaR进行了比较

gjr_garch_roll <- ugarchroll(garch_spec, xts_Obs_per_gjr_return, n.start = 1000, refit.every = 1, 
                     refit.window = "moving", solver = "hybrid", calculate.VaR = TRUE, 
                     VaR.alpha = 0.01, keep.coef = TRUE) 


gjr_garch_roll
report(gjr_garch_roll, type = "VaR", VaR.alpha =0.01, conf.level = 0.99)

即使实际超出范围比预期的高,正确超出范围的Null假设也不会被拒绝。我在代码中做错了吗?

alpha:1%

预期超出:9.5

实际VaR超出:14

实际百分比:1.5%

无条件承保(Kupiec)

无效假设:正确的超越

LR.uc统计信息:1.908

LR.uc严重:6.635

LR.uc p值:0.167

拒绝为空:否

0 个答案:

没有答案