Backtesting Value-at-Risk: A GMM Duration-based Test

By Candelon Bertrand, Colletaz Gilbert, Hurlin Christophe, and Tokpavi Sessi
Journal of Financial Econometrics (2011)

  • Christophe Hurlin

    University of Orléans


  • Gilbert Colletaz

    University of Orléans


  • Bertrand Candelon

    Maastricht University


  • Sessi Tokpavi

    Université Paris Ouest



September 28, 2013

Last update

October 3, 2013










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) – 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).

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