Hi Rafael,
VaRloss and VaRTest take the realized and conditional quantiles, whilst
the ESTest takes the realized, conditional expected shortfall and
conditional quantiles (as the help file example shows).
Here is a short script showing how VaRloss can be used:
################################################################
# ideally you want to test many models with different distributions
# for this example
library(xts)
library(rugarch)
data("sp500ret")
R = xts(as.numeric(sp500ret[,1]), as.Date(rownames(sp500ret)))
spec<-vector(mode="list", length=2)
spec[[1]]<-ugarchspec(mean.model = list(armaOrder=c(2,1)),
variance.model=list(model="sGARCH"))
spec[[2]]<-ugarchspec(mean.model = list(armaOrder=c(2,1)),
variance.model=list(model="gjrGARCH"))
fitlist = vector(mode="list", length = 2)
for(i in 1:2){
tmp = ugarchroll(spec[[i]], R, n.ahead = 1, forecast.length = 1500,
refit.every = 50,refit.window = "moving", windows.size = 1500, solver =
"hybrid",calculate.VaR = FALSE, keep.coef = FALSE)
if(!is.null(tmp@model$noncidx)){
tmp = resume(tmp, solver = "solnp", fit.control = list(scale=1),
solver.control = list(tol=1e-7, delta=1e-6), cluster = cluster)
if(!is.null(tmp@model$noncidx)) fitlist[[i]] = NA
} else{
fitlist[[i]] = as.data.frame(tmp, which = "density")
}
}
## The cost of misspecification using VaR
qx1 = qx5 = matrix(NA, ncol = 2, nrow = 1500)
for(i in 1:2){
qx5[,i] = as.numeric(apply(fitlist[[i]], 1, function(x) qdist("norm",
0.05, mu = x["Mu"],sigma = x["Sigma"], skew = x["Skew"], shape =
x["Shape"])))
qx1[,i] = as.numeric(apply(fitlist[[i]], 1, function(x) qdist("norm",
0.01, mu = x["Mu"],sigma = x["Sigma"], skew = x["Skew"], shape =
x["Shape"])))
}
VL5 = apply(qx5, 2, function(x) VaRloss(0.05, fitlist[[1]][,"Realized"], x))
test <- mcsTest(VL5, 0.05, 5000, 1, "stationary")
################################################################
Regards,
Alexios
On 12/15/2017 4:09 AM, Rafael Bressan wrote:
Hello,
someone, maybe Alexios even, could confirm what are the arguments to these
functions?
I suspect that VaRloss and VaRTest the inputs are the actual realized
RETURNS and corresponding lower quantiles for VaR,
while to ESTest it seems to be the opposite, the actual LOSSES and
corresponding higher quantiles.
I checked the source code but still in doubt.
Thanks,
Rafael
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