This code computes the GMM duration-based VaR backtesting test proposed by Candelon et al. (2011). Three hypotheses are considered: the first one tests the null of unconditional coverage (CC), the second one tests the independence assumption (IND), and the last one the null of conditional coverage (CC) â see Christoffersen (1998) for more details. The three J-statistics are based on the framework proposed by Bontemps (2006). They correspond to simple J-statistics based on the moments defined by the orthonormal polynomials associated with the geometric distribution. The user has to choose the number of polynomials considered (p denotes the maximum number of polynomials considered).
Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki