We can also help by modifying the codes to match your research questions and hypotheses. Conventional VaR based on the unconditional (historical) standard deviation Further, our comments on each line of code make the application of the code not only easy, but also help the users to understand the process more clearly.Ģ. The code needs just a basic understanding of Stata. We have developed easy to use yet robust code for backtesting VaR models. Commonly used VaR backtesting procedures include the likelihood-ratio test by Kupiec (1995), the Markov tests by Christoffersen (1998), and the duration-based test by Christoffersen and Pelletier (2004). Most of these procedures rely on the analysis of the hit sequence or VaR violations. Backtesting procedures are used by comparing realized returns and VaR generated by different models. ![]() The reliability of these models is usually an empirical question. ![]() There are several methods to calculate VaR. The value at risk (VaR) measures the maximum loss a financial asset can experience in n days with a given probability α. Paid Help – Frequently Asked Questions (FAQs).
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