Download Shareware and Freeware Software for Windows, Linux, Macintosh, PDA

line Home  |  About Us  |  Link To Us  |  FAQ  |  Contact

Serving Software Downloads in 976 Categories, Downloaded 30.066.161 Times

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests 1.0

  Date Added: April 24, 2013  |  Visits: 173

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests

Report Broken Link
Printer Friendly Version

Product Homepage
Download (19 downloads)

This toolbox estimates the following volatility loss functions:1. Mean Square Error, MSE2. Mean Absolute Deviation, MAD3. Mean Logarithm of Absolute Errors, MLAE4. Heteroskedasticity-adjusted Mean Square Error, HMSE5. Heteroskedasticity-adjusted Mean Absolute Error, HMAE6. Median Absolute Error, MAE7. Median Absolute Percentage Error, MAPE8. R2LOG9. QLIKE10. Success Ratio, SRand the following VaR back-testing tests:1. Percentage of Failures (PF%)2. Time Until First Failure, TUFF3. Likelihood Ratio of Time Until First Failure, LRTUFF4. Likelihood Ratio Unconditional Coverage, LRUC5. Likelihood Ratio Independence Coverage, LRIND6. Likelihood Ratio Conditional Coverage LRCC7. Basel II Accord, BASELFor 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.

Requirements: No special requirements
Platforms: Matlab
Keyword: Accord Basel Conditional Coverage Independence Information Unconditional
Users rating: 0/10

License: Shareware Size: 1024 KB
Development Tools  -  Volatility Forecast Toolbox 1.0
The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast...
20.48 KB  
Development Tools  -  ARMAX-GARCH Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) 1.0
ARMAX-GARCH Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications)The ARMAX-GARCH Toolbox estimates, forecasts and simulates a large variety of ARMA and GARCH models with different distributions and for any order of AR(n),...
235.52 KB  
Utilities  -  Branch Tracer for Linux
btrax(Branch Tracer for Linux) is a branch instruction tracer using the branch record mechanism that is the debugging function of Pentium4 and Xeon CPU. It can trace branch instruction of kernel, driver, application and library without making a...
215.04 KB  
Development Tools  -  Feature Selection Based on Interaction Information 1.0
This is a self-contained package for running feature selection filters: Given a (usually large) number of noisy and partly redundant variables and a target choose a small but indicative subset as input to a classification or regression...
20.48 KB  
Spreadsheets  -  Conditional Formatting for Excel 2.0.0
This new version 1.3.0 has new functions: New Toggle Settings tool, Check upgrades/updates and it is compatible with Windows Vista. In order to ease the analysis of specific data in your spreadsheet, you might give it a special format (for...
4.85 MB  
Development Tools  -  Information Theory Toolbox 1.0
Functions for Information theory, such as entropy, mutual information, KL divergence, etcThis toolbox contains functions for discrete random variables to compute following quantities:1)Entropy2)Joint entropy3)Conditional entropy4)Relative entropy...
10 KB  
Development Tools  -  Kernel estimate for (Conditional) Mutual Information 1.0
Mutual information I(X,Y) measures the degree of dependence (in terms of probability theory) between two random variables X and Y. Is is non-negative and equal to zero when X and Y are mutually independent. Conditional mutual information I(X,Y|Z)...
10 KB  
Personal Information Managers  -  AlfaPad Notes Organizer 2011
AlfaPad Notes Organizer is a neat and tidy software that can help in organizing your thoughts as they day races by, eliminating the problem of finding the notes you know are somewhere on your hard drive. uses an intuitive, double-paned...
6.43 MB  
Religion  -  Sikhism Information System 1.1
The software contains information about sikhism and being a sikh, it also contains information on the ten gurus (from the 1st guru - Guru Nanak Dev Ji to the 10th guru - Guru Gobind Singh Ji and also Guru Granth Sahib Ji). The software contains...
1024 B  
Network Management Tools  -  Remote System Information 3.0
Remote System Information is a software management tool for system administrators and managers alike. It reports back critical operating system and application version information for your entire windows domain in a clear, exportable spreadsheet...
2.52 MB  
Scripts  -  Freelancer Script 5.05
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Post projects. Featured projects. Private projects. Sealed projects. Edit/delete projects. Select freelancers....
5.49 MB  
Scripts  -  B2B Script 4.20
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Sign-up Account (Registration of account). Lead generation tools (for the sellers). Email verification to...
5.49 MB  
Scripts  -  B2C Script 5.06
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). The script comes with totally editable site colors, icons and graphics Multilevel categories allows extensive browsing Admin can change Category ordering or...
5.49 MB  
Scripts  -  Social Networking Script 2.86
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Registration with name, email, password, date of birth etc. User can add multiple school, college, university with start...
5.49 MB  
Scripts  -  Business Networking Script 8.04
Main Features: 100% Secured. Email Support (3 Years). FREE Updates (3 Years). Ajax based interface. Profile creation. Different types of profile. Profile for jobseekers, employers and employed...
5.49 MB  
Development Tools  -  VMP Viewer 1.0
This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.
10 KB  
Development Tools  -  Sending reports and timestamped file by emailing 1.0
main executing reference usage:[1] usage_send_mail.mIllustrates email sending with multiple separate files or single timestamped tar file. Attachment failure is properly handled, with continuation of report emailing without the attachment.[2]...
768 KB  
Development Tools  -  IrisMVC 2.0 rc1
IrisMVC is an OOP PHP framework that developers can use as a strong and secure foundation to build on various web applications following the Model-View-Controller (MVC) pattern. It provides the basic functionality developers need, without...
51.2 KB  
Development Tools  -  7-Zip for Script 4.42
7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...
624.64 KB  
Development Tools  -  Barnardextest 1.0
This file, as the Fisher's exact test, performs the exact probability test for a table of frequency data cross-classified according to two categorical variables, each of which has two levels or subcategories (2x2). It is a non-parametric...
10 KB