This code implements a range of VaR backtest.
To date, the following tests are available:
- Likelihood ratio framework of Christoffersen (1998)
- Dynamic Quantile Test of Engle and Manganelli (2004)
More will be added.
-
Notifications
You must be signed in to change notification settings - Fork 17
Implementation of a variety of Value-at-Risk backtests
License
BayerSe/VaR-Backtesting
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Folders and files
| Name | Name | Last commit message | Last commit date | |
|---|---|---|---|---|
Repository files navigation
About
Implementation of a variety of Value-at-Risk backtests
Topics
Resources
License
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published