Results for varbacktest
backtesting plot. Step 3. Create a varbacktest object. Step 4. Run a summary report. Step 5. Run all tests. Step 6. Run individual tests. Step 7. Create VaR backtests for multiple portfolios. Step 8. Display a summary report for both portfolios. Step 9. Run all tests for both portfolios.
(Longer than ndays) Calculate VaR of each ETF Set VaR level Calculate 1-year historical VaR Perform VaR backtesting Use varbacktest. to create the VaR Backtesting Object and then perform 8 tests together using runtests. Visualize the results Supporting functions ', ... inText, ...
compared to the Normal Distribution approach (seven (7) violations, blue stars) or the Historical Simulation method (eight (8) violations, red squares). Besides visual tools, you can use statistical tests for VaR backtesting. In Risk Management Toolbox™, a varbacktest object supports multiple statistical
functionality to assess the performance of the ES models in the test window. The esbacktest object does not require any distribution information. Like the varbacktest object, the esbacktest object only takes test data as input. The inputs to esbacktest include portfolio data, VaR data and corresponding VaR