Dear R users, I am trying to backtest VaR using the rugarch package. My code looks as follows
VaRTest(alpha=0.025,Backtesting_BuVaR$Log.return,Backtesting_BuVaR$VaR,conf.level = 0.975) R returns following output. I don't understand why I get NAs except for the critical values. Does anyone have an idea what I am doing wrong and why R returns only NAs? The corresponding data are in the csv file. Many thanks for your support. $expected.exceed [1] 117 $actual.exceed [1] NA $uc.H0 [1] "Correct Exceedances" $uc.LRstat [1] NA $uc.critical [1] 5.023886 $uc.LRp [1] NA $uc.Decision [1] NA $cc.H0 [1] "Correct Exceedances & Independent" $cc.LRstat [1] NA $cc.critical [1] 7.377759 $cc.LRp [1] NA $cc.Decision [1] NA Warning message: In Ops.factor(actual, VaR) : '<' not meaningful for factors ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
