GARCHBACKTEST—Rolling GARCH Estimation
Posted: Sat Nov 29, 2025 9:09 pm
GARCHBACKTEST.RPRJ does a (very simple) back test for one-step VaR calculations using rolling GARCH estimates. It's mainly an example of how to do the rolling GARCH estimates, but also includes calculations of the Kupiec and Christofferson LR tests for the VaR being at the proper level.
Detailed Description
Detailed Description