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In sample value at risk and backtesting 1.0

  Date Added: September 16, 2013  |  Visits: 304

In sample value at risk and backtesting

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I wrote this code because I wanted to incorporate a new distribution in the model, not availiable in Matlab or OxMetrics. In this sample the input is a return series, it uses a Garch(1,1) model with a constant in mean in the returns, and calculates the maximum likelihood estimator (mle) for the gaussian distribution. Using fmincon with appropriate constraints it minimizes the mle. Then it plots the VaR levels for six cases and calculates the success/failure ratio, the Kupiec-p test and the Christoffersen consitional coverage. The results are exact with OxMetrics, and the user can change the code with his own Garch model or a different distribution at will. The output is a structure with the results.

Requirements: No special requirements
Platforms: Matlab
Keyword: And The At Will Availiable Calculates Code Constraints Exact Model Output Oxmetrics Results Returns Successfailure Ratio User Var Levels With His Own Wrote Code
Users rating: 0/10

License: Freeware Size: 10 KB
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