Hi Alexios, I tried the var_cp_test from the new package and they work just fine. I will also look into tsgarch. Thanks for your support!
Best, Ayla Am Do., 18. Mai 2023 um 17:29 Uhr schrieb alexios galanos < [email protected]>: > Hi Ayla, > > That’s been a problem with the implementation of the VaR test for some > time with large data due > to underflow. I’ll look into fixing this in the next release, but in the > meantime you can try the > new package for time series tests which fixes this problem : > https://github.com/tsmodels/tstests > > Most of rugarch has already been re-written/ported to tsgarch and the > tests in rugarch > to tstests. > > Example: > > #### > library(tstests) > > # 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 > print(var_cp_test(data[,1], var[,1], 0.05)) > > Value at Risk Tests (Christoffersen and Pelletier) > Hypothesis(H0) : Unconditional(UC), Independent(CCI), Joint Coverage(CC) > and Duration(D) > > DoF Chisq Pr(>Chisq) > Kupiec (UC) 1 3.414 6.466e-02 . > CP (CCI) 1 15.113 1.013e-04 *** > CP (CC) 2 18.527 9.484e-05 *** > CP (D) 1 30.013 4.291e-08 *** > > --- > Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 > > Coverage : 0.05 > Obs. : 3419 > Failures : 195 > E[Failures] : 170 > > > > Alexios > > > On May 18, 2023, at 1:49 AM, Ayla via R-SIG-Finance < > [email protected]> wrote: > > > > 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]] > > > > _______________________________________________ > > [email protected] 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. > > -- Ayla Augst Winthirstraße 35a 80639 München Tel.: 0176 61041527 [[alternative HTML version deleted]] _______________________________________________ [email protected] 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.
