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In sample value at risk and backtesting 1.0
File ID: 78602

In sample value at risk and backtesting 1.0
Download In sample value at risk and backtesting 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 21
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In sample value at risk and backtesting 1.0 Description
Description: 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.

License: Freeware

Related: wrote code, calculates, results, oxmetrics, with his own, and the, constraints, availiable, at will, Exact, output, successfailure ratio, User, returns, Model, var levels, Code

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 21

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