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

  Date Added: April 24, 2013  |  Visits: 168

Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests

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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
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