Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests

This toolbox estimates the following volatility loss functions:
1. Mean Square Error, MSE
2. Mean Absolute Deviation, MAD
3. Mean Logarithm of Absolute Errors, MLAE
4. Heteroskedasticity-adjusted Mean Square Error, HMSE
5. Heteroskedasticity-adjusted Mean Absolute Error, HMAE
6. Median Absolute Error, MAE
7. Median Absolute Percentage Error, MAPE
8. R2LOG
9. QLIKE
10. Success Ratio, SR

and the following VaR back-testing tests:
1. Percentage of Failures (PF%)
2. Time Until First Failure, TUFF
3. Likelihood Ratio of Time Until First Failure, LRTUFF
4. Likelihood Ratio Unconditional Coverage, LRUC
5. Likelihood Ratio Independence Coverage, LRIND
6. Likelihood Ratio Conditional Coverage LRCC
7. Basel II Accord, BASEL

For further information regarding the full functionality please refet to the ARMAX-GARCH Toolbox in the readme files.

Please feel free to contact me with comments, suggestions, or bugfixes.