[R] Backtesting VaR using rugarch package
tr206 at kent.ac.uk
Mon May 2 20:41:26 CEST 2016
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.
 "Correct Exceedances"
 "Correct Exceedances & Independent"
In Ops.factor(actual, VaR) : '<' not meaningful for factors
More information about the R-help