This code allows users to implement various backtesting methods for a series of VaR margins or VaR forecasts. The statistical tests are the following: z statistic (Jorion, 2007), LR tests (Kupiec, 1995 and Christoffersen, 1998), DQ tests (Engle and Manganelli, 2004), LR duration based tests (Christoffersen and Pelletier, 2004), and the Risk Map (Colletaz, Hurlin and Perignon, 2011).
Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki