Dear contributors, dear Alexios Galanos, I'm using the rugarch package version 1.4.9 to backtest a calculated value of risk vector against my log returns with the VaRTest function from the package.
However, in some situations, the test returns NA. I found an example where the test returns NA for the full vector of VaRs and log returns but when I perform the test without the very last value in the vector, it returns an output. It does not help to put the data and the VaR explicitly to numeric (`as.numeric()`). Data for the example can be found here: https://drive.google.com/file/d/1YAvWpDJT93PnVDrvHuMZoBmQ8BEnB2cu/view?usp=sharing and here: https://drive.google.com/file/d/1qPQXOqZL9lancBnW_q2aa_I75wd5loTM/view?usp=share_link This is my code: ``` ## load data rm(list = ls()) require(rugarch) # load the data filename = "bugreport_var_test_var.csv" var = read.csv(file = filename) filename = "bugreport_var_test_log_reg.csv" data = read.csv(file = filename) # try the test with full data VaRTest( alpha=0.05, actual=data[,1], VaR=var[,1] ) # try the test without last data point VaRTest( alpha=0.05, actual=data[1:(nrow(data)-1),1], VaR=var[1:(nrow(var)-1),1] ) ``` Thanks a lot in advance! Best, Ayla [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
