[R] Backtesting VaR using rugarch package

T.Riedle 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.

[1] 117

[1] NA

[1] "Correct Exceedances"

[1] NA

[1] 5.023886

[1] NA

[1] NA

[1] "Correct Exceedances & Independent"

[1] NA

[1] 7.377759

[1] NA

[1] NA

Warning message:
In Ops.factor(actual, VaR) : '<' not meaningful for factors

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