This code implements a range of VaR backtest.
To date, the following tests are available:
- Likelihood ratio framework of Christoffersen (1998)
- Dynamic Quantile Test of Engle and Manganelli (2004)
More will be added.
Implementation of a variety of Value-at-Risk backtests
This code implements a range of VaR backtest.
To date, the following tests are available:
More will be added.
Implementation of a variety of Value-at-Risk backtests
MIT License