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library(readxl)
setwd("C:/Users/chaua/Downloads")
data <- read_excel("C:/Users/chaua/Downloads/MSCI Data.xlsx")
library(PerformanceAnalytics)
library(dplyr)
library(tidyquant)
library(quantmod)
library(tseries)
library(tidyverse)
library(rugarch)aparch_eg_11 <- garchFit(data=data$eg,formula=~aparch(1,1),cond.dist = "")
Error in match.arg(cond.dist) :
'arg' should be one of “norm”, “snorm”, “ged”, “sged”, “std”, “sstd”, “snig”, “QMLE”library(GAS)
library(VaRES)
x<- data$eg
VaR <- data$ap_eg
BacktestVaR(x,VaR,alpha = 0.05,Lags = 6)Warning: no non-missing arguments to max; returning -Inf$LRuc
Test Pvalue
83.71066 0.00000
$LRcc
Test Pvalue
83.71066 0.00000
$AE
[1] 0
$AD
ADmean ADmax
NaN -Inf
$DQ
$DQ$stat
[,1]
[1,] 30.09758
$DQ$pvalue
[,1]
[1,] 0.0004222601
$Loss
$Loss$Loss
[1] 139.0206
$Loss$LossSeries
[1] 159.34900 155.02940 158.53642 159.78351 158.79317 159.89480 160.39091 161.08152
[9] 162.64511 161.13115 162.67017 161.32870 160.86171 160.66776 161.23231 162.24335
[17] 162.82486 163.43639 164.18141 165.60942 163.95440 164.28736 162.13489 162.60583
[25] 163.13336 161.74939 163.08387 163.35036 161.07690 159.01732 157.73278 155.87778
[33] 147.26475 147.85825 144.11639 146.05432 129.39489 133.26423 133.45789 111.68018
[41] 112.05706 107.02906 114.36869 123.61918 119.64107 120.12331 120.03019 114.35451
[49] 114.15942 112.27870 112.18685 111.89406 117.25773 121.29804 126.35102 125.62844
[57] 126.02411 124.13027 120.28482 116.17072 114.67010 118.60220 120.51364 119.61473
[65] 122.75834 123.18082 118.56544 119.72824 120.72285 121.03094 121.03105 123.16414
[73] 126.05362 123.56656 122.71901 122.71907 122.84966 123.83923 122.30576 119.91473
[81] 119.91464 119.87522 121.02578 122.21729 125.48979 132.35066 131.64230 129.08391
[89] 128.38139 126.05949 129.80997 129.53389 128.88650 128.88658 126.67317 126.11312
[97] 128.67017 126.29362 123.32957 122.78398 122.78407 126.46416 125.76603 126.70010
[105] 125.37965 125.02866 123.96822 121.65273 119.23465 118.22958 121.11562 119.17055
[113] 119.61703 119.36412 119.28369 118.19926 119.16876 121.20278 122.40273 121.69274
[121] 121.75627 122.54782 125.23484 124.69524 125.60027 128.90130 130.14567 130.04369
[129] 130.25526 128.31981 126.76475 126.38873 126.25027 126.68082 125.85435 126.19485
[137] 127.34638 126.78537 127.22788 127.93040 126.67041 125.42387 125.97484 125.83187
[145] 125.74040 125.72642 125.61144 125.38246 125.53997 125.43848 126.71899 128.80545
[153] 128.57936 127.94189 128.21689 128.44892 126.61194 126.57435 126.08939 125.82640
[161] 116.13292 116.59656 117.02923 117.45637 118.97099 119.25253 120.44962 122.16216
[169] 124.40216 122.76462 122.61062 121.30769 121.07569 120.64575 119.35279 118.21827
[177] 119.24476 120.80278 119.88926 118.99277 120.81328 120.96225 120.80080 120.82634
[185] 121.00038 121.43741 121.95643 122.38644 122.23095 121.89946 119.67596 117.55433
[193] 117.36324 117.26829 117.23334 116.01537 116.51134 117.37286 117.39587 116.75690
[201] 117.00690 117.74642 122.38692 124.12513 124.43214 125.61321 125.34873 125.85228
[209] 127.16082 127.94831 125.17383 125.37070 126.18276 125.26529 126.18530 126.35282
[217] 126.15936 123.53939 122.29775 122.76574 122.47979 122.00733 122.18935 120.80389
[225] 119.68784 122.37182 121.28022 122.34123 124.26225 123.21422 122.80023 123.08127
[233] 121.36932 123.35027 122.53123 121.05375 120.98573 120.79079 120.71233 119.39287
[241] 118.00833 114.94529 113.88312 116.16665 118.95961 115.10054 114.67187 112.62098
[249] 111.67946 108.09552 108.35586 108.64098 108.90358 108.73266 106.27273 104.52861
[257] 106.30208 110.93058 113.74534 114.30983 113.07044 113.53799 114.94608 112.80211
[265] 113.19106 114.34814 115.29217 116.66621 116.41821 112.44327 112.51252 112.14361
[273] 111.70218 114.09173 111.92766 108.80609 105.63345 105.87184 105.66246 104.15306
[281] 103.13156 101.28709 98.81505 99.34396 98.06005 98.97506 98.90261 98.53569
[289] 97.78524 99.97026 100.64567 101.15721 101.46426 101.17981 99.64584 101.78377
[297] 102.94419 101.79020 103.71969 103.29265 103.67870 106.22376 108.49015 108.20710
[305] 109.12517 109.44071 109.09976 109.01380 110.05335 109.43334 109.15035 108.95637
[313] 110.27740 111.54036 112.37634 115.60085 113.39718 113.43361 112.16469 113.83319
[321] 114.53518 115.53972 115.39775 115.22880 115.05184 116.66587 116.36383 115.15486
[329] 114.96182 115.35386 114.63939 114.63938 114.65741 114.55044 113.60145 111.10292
[337] 109.29876 107.98670 107.84118 108.06775 106.90180 106.54378 105.20781 106.27727
[345] 105.58028 105.10429 107.44832 110.37522 111.24510 112.52965 114.25717 118.07766
[353] 116.81000 115.92254 116.85609 117.42214 120.41570 122.32810 124.83860 126.57057
[361] 127.87609 127.30263 124.53868 127.35559 125.79454 125.72706 125.02265 124.95819
[369] 125.27926 123.19731 124.20423 123.44176 122.62378 122.08129 119.29382 121.38067
[377] 121.52865 120.20022 120.73621 122.10726 120.72026 119.90724 122.97376 122.14265
[385] 121.12418 119.81870 118.39220 118.55869 119.36376 121.19778 123.07225 123.70372
[393] 123.49326 123.82431 123.82435 123.49639 123.27591 123.70542 123.82694 123.81296
[401] 125.19847 125.29993 123.94695 123.42489 121.30990 122.05930 122.05732 120.44036
[409] 119.70230 118.46082 119.83279 120.11478 119.53933 117.85434 117.33828 117.25331
[417] 117.57935 116.02588 118.48532 118.49723 117.52629 118.39079 115.69731 115.23217
[425] 109.46272 111.98279 112.89730 111.19191 112.25043 102.34551 97.85766 98.42007
[433] 98.52282 99.54053 99.48918 101.96883 103.34832 113.03189 116.19523 116.21231
[441] 115.93953 111.72521 112.75507 110.05521 110.33170 113.60635 110.83529 110.53776
[449] 107.71539 103.19832 104.74710 103.57271 104.27630 106.09991 103.83844 100.34440
[457] 100.43925 102.34839 102.25741 105.31253 102.75193 102.58887 101.60348 100.29353
[465] 97.90155 96.61646 97.71249 99.98604 100.28150 99.95559 98.00716 98.43559
[473] 97.09166 97.49715 97.03921 95.07775 94.25865 94.72418 96.85073 97.24865
[481] 95.06721 94.82260 94.19217 92.81621 92.81617 91.42224 91.83119 90.97525
[489] 88.48775 88.78658 88.59766 88.35772 82.98577 82.91319 83.49734 84.98795
[497] 84.98796 85.89507 88.23511 88.10802 89.93011 88.45757 89.75905 89.47457
[505] 90.26464 90.56618 89.27274 90.03520 91.44423 93.36170 92.23664 93.07514
[513] 92.87068 91.54274 90.85870 93.77222 93.90256 96.02515 95.74458 95.89616
[521] 96.82523 95.08675 94.64867 91.73922 91.86652 92.73562 93.45416 93.10070
[529] 93.14175 95.66180 95.43866 94.38623 93.23372 91.67870 93.29015 93.81762
[537] 93.78968 90.59325 89.69700 88.97155 90.64310 89.07407 92.02604 93.65341
[545] 92.74444 92.45950 92.68359 93.26017 95.75422 96.51860 96.75215 97.80822
[553] 100.03923 103.92115 104.08694 112.24855 114.12099 113.99960 111.52727 112.65826
[561] 115.97387 113.99431 126.45083 121.15254 125.50200 125.20607 126.53882 130.90150
[569] 130.13548 132.24415 129.52723 131.93074 133.25030 137.69739 137.87230 142.83593
[577] 150.34881 153.16506 157.50415 157.16865 156.00980 156.84490 161.54600 157.97841
[585] 149.53387 144.86251 146.93647 147.03160 147.10927 144.97991 144.81344 145.69505
[593] 149.47662 149.33804 154.55813 160.43396 162.99631 152.88587 148.24940 148.17039
[601] 150.13160 154.10621 157.60321 160.48724 162.59179 169.54437 175.01820 181.52766
[609] 172.84708 174.21186 175.27204 181.34971 186.39514 188.89665 199.83225 191.66897
[617] 192.65835 192.05305 190.10322 183.56831 186.04317 184.00827 188.07085 187.67586
[625] 184.90198 187.98099 182.92750 183.28390 179.08901 179.63044 180.13705 180.13714
[633] 168.84821 166.03963 163.13319 161.02374 161.02381 162.79445 166.24401 167.53799
[641] 170.69006 172.56955 167.57409 171.68394 174.71241 174.71243 179.66905 178.95646
[649] 180.99405 175.58059 174.96293 177.03753 174.43557 194.88256 194.88160 194.88186
[657] 184.78057 182.00930 182.00944 182.00964 182.00980 178.86794 182.45194 181.04144
[665] 180.46401 181.21360 181.21367 181.60774 178.62329 179.89272 177.73076 177.73073
[673] 177.45479 177.45783 178.14537 175.02590 177.94029 178.19524 181.01330 179.96825
[681] 179.96828 179.44783 182.57286 181.86679 182.88282 180.85734 182.76031 182.44780
[689] 184.16134 182.08234 181.90780 184.08184 185.63182 184.60233 183.99884 182.39186
[697] 181.50684 180.71885 180.71887 180.71890 180.71893 180.71895 177.00647 174.62981
[705] 170.84526 170.44865 171.79421 172.61224 174.70928 176.11177 176.49229 177.10384
[713] 178.61087 178.68386 177.02840 177.58087 177.82289 177.23192 178.30793 177.27893
[721] 177.27892 177.45194 176.95796 177.34396 177.72897 179.41648 180.62745 182.50794
[729] 182.16840 180.74442 184.20240 184.11930 183.31485 183.31486 190.25140 188.88063
[737] 194.24767 197.07055 196.55257 200.54365 205.50960 206.40453 206.40462 203.35920
[745] 201.79866 203.95919 206.47721 206.47721 207.39377 209.39881 206.98681 209.53228
[753] 209.53227 209.21032 210.14836 208.40488 208.40486 211.61939 212.85133 212.85385
[761] 212.85389 212.85392 209.94094 210.66386 207.51739 208.71081 206.45783 211.74230
[769] 212.53268 208.68674 207.39266 203.23370 205.43112 210.42615 210.42607 217.61516
[777] 213.89749 214.63098 217.57558 217.57560 223.34968 230.86658 243.05294 250.88616
[785] 246.88362 242.52519 246.36674 248.99631 258.55640 256.12576 258.38585 269.29395
[793] 282.82776 270.03955 264.72236 261.87095 261.87109 264.68827 263.35386 260.50997
[801] 260.90051 260.90061 261.09119 258.22726 259.89474 257.89078 263.85428 257.75868
[809] 253.41407 247.49504 247.49496 247.66457 243.60866 246.35162 250.68665 250.68662y<- data$leb
VaR1 <- data$ap_leb
BacktestVaR(y,VaR1,alpha = 0.05,Lags = 6)Warning: no non-missing arguments to max; returning -Inf$LRuc
Test Pvalue
83.71066 0.00000
$LRcc
Test Pvalue
83.71066 0.00000
$AE
[1] 0
$AD
ADmean ADmax
NaN -Inf
$DQ
$DQ$stat
[,1]
[1,] 28.53891
$DQ$pvalue
[,1]
[1,] 0.0007748333
$Loss
$Loss$Loss
[1] 57.71551
$Loss$LossSeries
[1] 35.31450 35.31360 34.68412 34.83062 35.21362 35.25360 31.72662 31.18512
[9] 30.96462 30.93512 30.94562 30.95712 31.03312 30.80862 31.04362 31.19261
[17] 31.37662 31.39762 31.48162 31.41212 31.79562 31.54509 31.60212 31.25462
[25] 31.25112 31.18112 30.90062 30.88112 31.07612 31.07612 30.62912 30.71362
[33] 29.82762 29.98612 29.84112 29.84462 29.57562 29.65762 29.82312 29.87112
[41] 30.24812 30.20359 29.55462 29.89512 29.89510 29.56412 29.56412 29.25712
[49] 29.49812 29.61261 29.82212 30.86461 30.01787 31.23108 31.20079 30.96657
[57] 30.41561 29.94712 29.73912 29.34812 29.06562 28.66012 28.50612 28.53062
[65] 28.39662 28.76412 28.76759 29.06112 28.88710 29.16612 28.96060 29.06712
[73] 28.99412 29.03962 28.73612 28.81962 28.94762 28.91262 29.45262 29.92955
[81] 30.27306 30.94559 30.87552 30.94711 30.70312 30.19112 30.25512 29.97212
[89] 30.61062 30.35553 30.03061 30.62912 30.76754 30.21761 30.41962 30.67711
[97] 31.29211 31.33254 31.34661 31.12312 31.08462 31.02412 30.98362 30.85762
[105] 30.42712 30.09162 29.40012 29.60512 29.76711 29.86212 30.25912 30.23959
[113] 30.26112 30.24162 30.13962 29.80162 30.03512 29.86561 30.28212 29.87758
[121] 29.78512 29.57012 29.68312 29.65812 29.66562 29.87212 29.83611 29.94312
[129] 29.96262 30.04312 30.27012 30.22211 30.27312 30.39462 30.91862 30.74406
[137] 30.72261 30.87262 30.90562 30.85962 30.72612 30.69362 30.90962 30.70811
[145] 30.75662 30.49612 30.32012 30.08962 30.03712 30.08662 30.09862 30.29712
[153] 30.41361 30.71512 30.99860 31.03860 30.95262 30.87912 30.92062 31.01162
[161] 31.01162 31.03712 30.97012 30.94262 31.02462 30.90662 30.93712 30.70112
[169] 30.10612 30.22662 30.02312 30.09662 30.23462 30.14712 30.23362 30.08562
[177] 30.39212 30.66260 30.50561 30.34712 31.10162 30.94849 30.82560 30.86312
[185] 30.82462 31.16362 31.48210 31.97660 32.36957 32.89359 33.03257 33.00411
[193] 33.03912 33.00412 33.00412 33.00812 32.95762 33.69262 33.62102 33.70611
[201] 33.87562 33.60662 34.16162 34.13007 34.56361 34.56359 34.67062 34.62962
[209] 34.62962 35.33162 35.51054 34.66461 34.95062 36.11661 36.97689 36.97698
[217] 39.50260 40.76731 41.19079 41.79256 39.82857 41.57711 41.86024 41.69456
[225] 42.77411 43.20898 43.48908 43.99911 43.99910 43.98712 44.47012 44.47160
[233] 44.47162 44.47162 44.47162 44.47162 44.47162 44.66112 45.43212 45.43206
[241] 45.48511 45.89112 45.89111 45.89112 45.89112 45.89112 45.89112 45.89112
[249] 45.89112 45.66162 45.13012 46.06062 46.15104 45.38061 45.57362 45.16262
[257] 44.83212 44.55262 44.74562 45.00462 45.29662 44.81511 44.61512 44.61912
[265] 44.56062 44.55562 44.55312 44.53412 44.71062 43.86062 44.32612 44.12610
[273] 44.14112 44.40262 44.66862 44.49462 44.61762 44.15812 44.15712 44.21862
[281] 44.40312 44.24562 44.35862 44.30762 44.17012 43.92912 43.96562 44.39712
[289] 43.98160 44.31712 44.02961 44.16712 44.10212 44.59812 44.81310 45.18512
[297] 45.64911 46.61560 47.42503 47.65305 48.09911 49.03510 48.94504 49.34361
[305] 50.71261 51.75746 52.14802 52.75460 53.25059 53.90860 52.91909 53.52912
[313] 53.27160 53.27162 53.00662 52.63562 52.00962 52.00962 52.00962 52.67612
[321] 53.26259 52.32510 52.80312 52.80311 52.80312 52.80312 52.80312 52.80312
[329] 52.80312 47.76662 47.76662 49.05912 50.17047 49.23000 49.09810 49.09812
[337] 49.09812 49.09812 49.83262 49.41008 49.11162 49.81462 49.33658 50.04762
[345] 50.21558 50.21561 50.21562 49.96512 49.96512 49.55812 49.83462 49.83462
[353] 49.83462 49.81312 49.83462 49.83462 49.57912 49.57912 49.57912 49.88612
[361] 50.43662 50.43660 50.05712 50.03812 49.88362 46.45012 46.45012 46.45012
[369] 46.45012 48.76262 49.68864 49.43848 49.43860 49.43862 49.43862 49.43862
[377] 49.43862 49.43862 49.43862 49.43862 49.43862 48.53062 48.53062 48.43912
[385] 48.75462 48.75461 48.68562 48.88962 48.84112 48.72162 48.58462 48.61412
[393] 48.61412 48.84612 48.84612 48.84612 48.67762 48.83862 48.83862 48.83862
[401] 48.27312 47.93312 48.27312 47.61111 47.55162 47.55162 47.44262 47.93662
[409] 47.93660 47.48112 48.15512 48.06108 48.61812 48.78810 48.78812 48.78812
[417] 48.78812 48.78812 49.14362 48.26861 48.40262 48.40262 48.40262 48.97912
[425] 48.97910 48.97912 48.97912 48.97912 48.97912 48.97912 48.97912 49.71362
[433] 51.94708 51.94672 51.94706 51.94711 51.94712 51.94712 51.94712 51.94712
[441] 51.94712 51.94712 51.94712 71.19462 70.53779 74.23310 70.97778 71.88747
[449] 74.65657 73.11231 73.07858 73.71061 73.32361 72.81862 72.81862 73.56012
[457] 73.55110 73.55112 73.55112 73.33462 73.33462 73.33462 73.33462 73.33462
[465] 73.33462 71.57112 71.27612 71.42562 71.42562 69.78212 72.07412 72.07390
[473] 72.49459 72.49461 73.55112 73.55108 73.55112 70.47312 70.76312 70.81112
[481] 70.76312 70.76312 70.23212 69.86312 69.30762 68.81012 69.12712 68.89812
[489] 69.79612 69.61059 68.87862 69.27512 69.25912 69.12712 69.48212 69.64962
[497] 69.09462 68.94212 68.93512 68.87212 68.34762 67.83312 68.07212 67.10862
[505] 65.87062 64.94862 63.54212 60.60212 58.43612 57.48362 58.60262 61.91105
[513] 63.02502 65.09896 66.93388 66.74643 67.54609 68.63409 66.84507 67.29511
[521] 66.68511 65.64512 65.25612 62.78362 62.29062 62.54512 61.60962 61.93512
[529] 62.63562 63.14310 63.02211 63.77862 64.17509 64.57461 63.93061 63.81112
[537] 64.35812 63.54061 63.36862 63.58212 63.07812 64.41412 63.30253 64.89511
[545] 65.21849 65.22010 66.09962 67.39659 66.93554 67.20461 67.05562 67.12062
[553] 67.62712 66.86111 67.21862 67.34712 66.65362 67.01912 67.71462 66.65560
[561] 67.37362 66.91510 66.38962 65.84962 65.60462 64.92412 64.99062 64.96562
[569] 64.51912 64.21512 64.96362 64.61060 65.23062 65.39861 65.11562 64.32562
[577] 65.10112 65.15759 65.28662 66.34062 66.61857 67.73961 68.79756 67.33757
[585] 70.51311 69.19418 69.80055 69.72860 68.03312 69.71312 69.95100 71.01960
[593] 70.97257 71.21911 71.29712 71.70062 71.42812 71.15462 71.86262 72.26760
[601] 72.20061 72.75912 72.38861 72.98562 72.69361 73.36662 73.48011 73.48862
[609] 73.66912 73.46112 73.51762 73.86262 73.55062 75.01012 75.12754 75.56661
[617] 75.37011 76.08112 77.73511 77.80552 77.36761 79.50562 82.98396 85.44223
[625] 87.19739 86.63101 86.56661 88.03312 88.19456 86.48261 88.37862 93.58402
[633] 99.74698 108.60630 100.83687 98.04237 95.30458 91.63012 91.41062 90.00712
[641] 90.00712 91.89662 93.87303 93.58302 92.03811 94.34312 92.77849 94.23560
[649] 94.05657 92.98061 93.21012 93.94312 95.07211 93.70009 95.70062 94.48303
[657] 94.38411 94.49212 93.98612 93.88262 91.89312 92.51662 91.56961 89.46712
[665] 90.00512 87.97912 87.70662 88.08062 89.39962 87.64408 89.94162 90.20998
[673] 89.43310 90.78062 93.10158 91.72948 92.64260 92.57560 90.78562 92.21862
[681] 91.09707 91.51911 90.37512 89.11962 88.93912 91.57062 91.70044 93.09910
[689] 92.14907 91.32711 91.91762 85.32211 85.72862 85.09112 86.11562 86.90359
[697] 88.80710 87.07852 87.54211 85.61362 85.87862 87.02112 82.74509 81.79262
[705] 82.91662 82.86609 84.50762 84.74554 84.54761 86.10612 88.11905 88.70350
[713] 88.95760 89.30812 89.61912 90.59462 89.91360 89.66312 91.07912 90.76557
[721] 90.51411 91.54562 90.73960 91.30912 89.92711 90.64712 90.79711 90.46262
[729] 90.44862 91.67762 91.97809 90.92562 89.97462 89.95912 91.15512 89.65259
[737] 91.11012 90.84157 89.85861 89.53662 90.44662 89.16260 88.64262 88.40262
[745] 89.00412 89.46811 89.77512 89.59762 88.47262 88.35112 90.79862 88.44346
[753] 89.23210 88.86611 88.95662 88.29062 89.47012 89.89409 90.10511 89.75212
[761] 91.39762 89.99755 89.56811 88.42512 88.82912 88.18962 87.78162 86.60662
[769] 87.58712 86.10610 85.95712 85.79112 84.18612 82.63212 80.59512 80.06262
[777] 79.43112 79.43112 79.00312 79.00312 80.15562 80.15558 80.54212 81.38212
[785] 81.03960 81.13712 80.94162 81.35662 80.71012 80.33812 80.54762 81.65512
[793] 81.05259 82.37012 83.31657 81.83359 81.39812 81.06862 80.73912 82.11712
[801] 82.31206 82.60361 83.34762 83.34761 83.67862 88.11162 90.64059 87.92138
[809] 89.07759 93.56358 98.41963 99.63456 97.15550 99.57561 100.37999 99.76059z<- data$bah
VaR2 <- data$ap_lab
BacktestVaR(z,VaR2,alpha = 0.05,Lags = 4)Warning: no non-missing arguments to max; returning -Inf$LRuc
Test Pvalue
83.71066 0.00000
$LRcc
Test Pvalue
83.71066 0.00000
$AE
[1] 0
$AD
ADmean ADmax
NaN -Inf
$DQ
$DQ$stat
[,1]
[1,] 40.88573
$DQ$pvalue
[,1]
[1,] 8.515323e-07
$Loss
$Loss$Loss
[1] 88.83133
$Loss$LossSeries
[1] 70.13800 70.24080 70.11192 69.72851 69.48505 69.92010 70.07510 70.05665
[9] 70.89121 71.76214 72.10108 72.01960 72.14016 72.54520 72.51919 72.55674
[17] 72.45778 71.54179 71.72421 71.62273 71.81426 72.02927 72.26377 72.46877
[25] 72.92078 73.63025 73.92519 74.11120 73.83023 73.89173 73.84627 73.05379
[33] 72.73023 72.67773 72.37626 71.75976 71.74722 71.37276 71.35874 71.31228
[41] 71.31780 71.81783 72.05578 72.09078 72.06731 72.27033 72.57332 72.45630
[49] 71.98981 72.32578 72.36726 72.24780 72.60381 72.92678 73.03177 73.02629
[57] 73.09532 73.39033 74.15081 73.87524 74.10224 74.69875 74.82671 74.63224
[65] 74.73225 74.65228 74.48930 74.51930 74.65483 74.72633 74.67035 74.88485
[73] 74.64234 74.64433 74.81785 74.64534 74.71434 74.50785 74.87184 73.81031
[81] 74.48871 74.16467 72.80218 72.77107 72.56114 72.67367 72.65421 72.91175
[89] 72.60776 72.97175 72.66874 72.71074 72.57078 72.37729 72.63579 72.68679
[97] 73.11631 73.06678 73.15830 72.86332 73.13030 73.31829 73.33380 73.23782
[105] 73.06083 73.10933 72.99184 73.20184 73.12784 73.14734 73.10736 73.07637
[113] 73.70487 73.90330 74.06880 74.29281 74.38930 73.02282 73.14818 73.23122
[121] 73.32126 73.61628 73.51277 73.70079 73.67330 73.82432 73.84082 73.32584
[129] 73.27130 73.46232 73.07532 73.08479 73.29932 72.97031 73.02630 73.29882
[137] 73.53031 73.27930 73.22179 73.21281 73.63433 72.90330 72.71974 72.90125
[145] 72.74527 72.91878 72.95079 72.82482 72.71332 72.71033 72.84184 73.12835
[153] 73.40183 73.63681 73.77381 73.83831 73.98333 74.08083 74.17234 74.31435
[161] 74.34785 74.33636 74.15887 74.30936 74.24236 74.69486 75.04632 75.69929
[169] 76.08824 76.49623 76.36272 76.49024 76.43927 76.80529 76.56027 76.83728
[177] 76.87127 76.90680 76.90133 76.94785 76.63436 76.92084 76.38082 75.95828
[185] 76.11026 76.91828 77.10570 76.86373 77.03574 77.29226 77.30326 77.62880
[193] 78.04328 78.19926 78.14378 78.12180 78.41482 78.44981 78.62183 78.94133
[201] 78.95731 79.19234 79.31883 79.80233 79.39829 79.39528 78.95231 78.95428
[209] 78.68831 78.89280 78.75080 78.99581 78.60431 78.58379 78.81381 78.84381
[217] 78.95133 79.30734 79.82732 79.71928 79.73529 79.84932 79.69233 79.99883
[225] 80.57181 80.51077 80.74529 80.57279 80.89630 81.14529 81.55379 81.82127
[233] 81.83477 81.90430 82.40582 82.08479 82.37778 83.09928 83.32672 83.29524
[241] 82.85677 82.27026 83.02473 83.17168 83.02772 82.95074 83.00627 83.27130
[249] 83.48830 83.32230 83.41431 83.67732 83.62931 83.96033 84.33231 84.50729
[257] 84.32830 84.62781 85.12430 84.90377 84.89978 85.08931 85.16081 85.27783
[265] 85.25284 85.44285 85.18135 85.01783 84.99583 85.04835 84.93336 85.06586
[273] 85.15336 85.43587 85.50035 85.90736 86.08683 86.20333 86.81884 86.95929
[281] 86.77780 86.84631 87.10683 87.15282 87.99734 88.47627 88.72775 88.94626
[289] 89.28127 89.09827 89.38878 89.39028 89.46981 89.18783 89.07382 89.37233
[297] 89.34282 89.55433 89.67583 89.34184 89.28782 89.60284 88.96132 87.23178
[305] 87.69914 86.47965 87.42909 88.08005 88.41756 88.60660 88.52965 88.79570
[313] 89.28572 89.31521 89.16525 89.27527 89.10980 88.54880 88.47527 88.87629
[321] 88.97528 89.32380 89.34029 89.56132 89.69382 89.86233 89.61183 89.82432
[329] 89.80382 89.44634 89.72332 89.52681 89.74632 89.63132 90.21733 90.78978
[337] 90.75925 90.52778 90.67679 90.63030 90.72682 90.48534 90.25433 90.60032
[345] 90.37831 90.34281 90.49083 90.75733 90.93733 91.21233 91.66232 92.03730
[353] 92.41128 92.75127 93.36527 93.60624 92.66826 93.27670 94.94669 96.27906
[361] 96.48600 96.65457 96.41913 98.21567 97.18854 98.00253 98.18053 98.42460
[369] 98.46315 98.80221 99.63872 103.10868 103.49440 103.42398 102.67256 101.64707
[377] 100.26456 98.46802 98.05894 98.25301 98.77758 99.14310 100.19113 101.26359
[385] 101.64056 104.02110 103.76944 103.92602 103.09659 103.67659 104.21361 104.11762
[393] 104.68868 105.96618 106.04311 106.12517 104.97672 105.18517 105.13421 105.03325
[401] 105.07627 104.79530 104.63280 104.76781 104.32033 103.99031 103.39880 101.90578
[409] 102.80718 102.71465 102.13970 101.39569 99.41368 100.58206 97.98302 98.54488
[417] 98.04444 97.83250 98.15507 96.10661 95.29350 94.69051 94.50804 94.44560
[425] 94.70466 95.28819 95.38668 96.03873 95.42570 95.33419 95.19023 95.09425
[433] 93.93878 94.19320 94.15673 93.50376 92.61823 92.13619 92.50669 92.58220
[441] 91.60724 91.53219 91.89273 91.43373 90.81723 90.48621 90.54022 90.31376
[449] 91.27177 91.98120 93.28917 93.73559 93.83411 93.42817 93.62168 93.61422
[457] 92.50526 92.21019 91.65771 91.65570 92.32325 93.66321 94.32962 94.44711
[465] 94.83317 95.22568 95.27569 95.30574 95.01178 94.82128 95.01529 95.00380
[473] 94.06532 94.88476 95.61121 95.10268 94.94668 95.00772 94.88626 94.92978
[481] 94.98181 95.02983 95.04235 95.03786 95.11987 95.72788 95.77533 95.90035
[489] 96.13435 96.09335 96.00536 96.04686 96.24787 96.40737 96.39586 96.48587
[497] 96.93588 96.90334 96.94286 96.89737 96.81787 96.78238 96.60338 96.40287
[505] 95.04936 94.20475 94.17071 94.07925 94.09928 94.06031 94.01283 93.98634
[513] 94.20285 94.15135 93.97486 93.92535 93.75686 93.37936 93.38883 93.34685
[521] 93.26136 93.35836 93.33187 93.31888 93.18888 93.05338 92.97687 93.18637
[529] 93.18786 93.23237 93.17538 93.11788 93.10339 93.04189 93.12689 93.23289
[537] 93.24339 93.29190 93.39640 93.26990 93.28989 93.17090 93.24739 93.06389
[545] 93.13288 93.17438 93.19089 93.14290 93.28540 93.28739 93.25490 93.24540
[553] 93.22890 93.19990 93.06540 92.88739 92.82988 92.77138 92.73388 92.67189
[561] 92.61989 92.68939 92.70139 92.84790 92.84839 92.58939 92.95937 92.90335
[569] 93.84486 93.98127 94.76329 94.40024 94.34874 94.58527 94.62978 94.38281
[577] 94.45631 94.45633 94.52035 94.52136 94.60187 94.71038 94.68138 95.57088
[585] 96.35930 96.29675 96.27028 96.42980 96.35632 96.38133 96.49285 96.52686
[593] 96.41187 96.07087 96.06135 96.79636 96.77830 96.73682 96.78434 96.84836
[601] 96.98137 96.75837 96.89286 96.83186 96.78487 96.87337 96.89788 96.79389
[609] 96.81038 96.96339 96.86589 96.95288 96.59139 96.59586 96.48987 95.52387
[617] 95.60079 95.54732 95.56833 95.58385 95.51387 95.46237 95.32037 94.94437
[625] 94.84884 94.84985 94.31736 94.97483 95.09328 94.92530 94.62931 93.92030
[633] 93.98276 94.71829 94.33025 94.48574 94.45627 94.44880 94.35782 94.29083
[641] 94.31434 94.21836 94.04986 94.03536 94.07737 94.24238 94.21337 94.18488
[649] 94.25538 94.36839 94.76839 94.72585 95.21936 95.34383 95.11884 95.32433
[657] 95.01583 95.68682 96.15877 96.73126 96.82624 97.04127 96.91178 96.91180
[665] 97.01732 97.15234 97.39034 97.48534 98.06635 98.09431 98.11333 98.03935
[673] 98.20086 98.14786 98.17537 97.89788 97.74736 97.76186 97.59687 97.60887
[681] 97.72088 97.77088 97.67189 97.72938 97.90539 97.82388 97.90788 97.87638
[689] 97.86789 97.85389 98.07140 97.81588 97.89337 97.83387 97.91738 98.03088
[697] 97.96238 97.72188 97.87987 97.97887 98.49837 98.72983 98.97383 99.01783
[705] 99.29435 98.84384 99.09481 99.31631 99.38682 99.22884 99.60434 99.42382
[713] 99.12082 99.08282 98.81033 98.77933 98.72134 98.61335 98.64236 98.19137
[721] 97.97134 98.00384 97.63135 98.08733 98.14381 98.21833 97.70685 97.61582
[729] 97.66783 97.62535 97.80936 97.62185 97.60785 97.83636 98.09885 97.37934
[737] 97.14130 97.09380 97.07082 96.95134 96.72184 96.48734 96.57383 96.24034
[745] 96.10583 96.47183 96.14432 96.47531 96.59130 96.75232 96.88383 96.95634
[753] 96.85585 96.67235 96.75635 97.31536 97.54332 97.45582 97.07183 97.14131
[761] 96.95883 97.28433 97.16082 97.17633 97.30085 97.04635 97.24184 97.20834
[769] 96.86986 97.00084 97.14884 97.05585 96.95185 96.55736 96.46283 96.10484
[777] 95.89232 95.72132 96.03733 96.19682 96.26433 96.58284 96.50583 96.70334
[785] 96.93934 97.25334 97.32582 97.20484 97.26034 97.28486 97.38687 97.58638
[793] 97.53787 97.50987 97.57238 97.14439 96.98835 97.05935 97.49636 97.11083
[801] 97.14232 97.11734 97.12785 97.01137 96.98587 96.16887 95.75881 95.70930
[809] 95.89632 95.89632 96.10734 96.39084 96.53183 97.28134 98.06928 98.57423t<- data$bah
VaR3 <- data$ap_bah
BacktestVaR(t,VaR3,alpha = 0.05,Lags = 4)Warning: no non-missing arguments to max; returning -Inf$LRuc
Test Pvalue
83.71066 0.00000
$LRcc
Test Pvalue
83.71066 0.00000
$AE
[1] 0
$AD
ADmean ADmax
NaN -Inf
$DQ
$DQ$stat
[,1]
[1,] 40.88573
$DQ$pvalue
[,1]
[1,] 8.515323e-07
$Loss
$Loss$Loss
[1] 88.8312
$Loss$LossSeries
[1] 70.13800 70.24035 70.11155 69.72820 69.48476 69.91984 70.07485 70.05643
[9] 70.89102 71.76190 72.10080 72.01935 72.13994 72.54501 72.51900 72.55657
[17] 72.45763 71.54166 71.72402 71.62256 71.81410 72.02912 72.26363 72.46863
[25] 72.92064 73.63009 73.92499 74.11101 73.83005 73.89156 73.84612 73.05366
[33] 72.73005 72.67755 72.37611 71.75960 71.74703 71.37260 71.35858 71.31214
[41] 71.31767 71.81771 72.05564 72.09064 72.06718 72.27022 72.57321 72.45618
[49] 71.98969 72.32564 72.36711 72.24766 72.60368 72.92664 73.03162 73.02616
[57] 73.09520 73.39023 74.15069 73.87507 74.10208 74.69859 74.82652 74.63207
[65] 74.73210 74.65214 74.48917 74.51918 74.65472 74.72623 74.67025 74.88476
[73] 74.64224 74.64422 74.81775 74.64524 74.71423 74.50775 74.87173 73.81019
[81] 74.48853 74.16445 72.80197 72.77080 72.56091 72.67346 72.65403 72.91160
[89] 72.60760 72.97159 72.66857 72.71057 72.57063 72.37715 72.63566 72.68665
[97] 73.11619 73.06664 73.15817 72.86320 73.13017 73.31816 73.33367 73.23771
[105] 73.06072 73.10922 72.99174 73.20174 73.12773 73.14724 73.10727 73.07628
[113] 73.70479 73.90317 74.06868 74.29268 74.38918 73.02270 73.14798 73.23104
[121] 73.32110 73.61614 73.51263 73.70066 73.67316 73.82420 73.84071 73.32574
[129] 73.27117 73.46220 73.07520 73.08465 73.29920 72.97019 73.02616 73.29870
[137] 73.53018 73.27917 73.22166 73.21269 73.63423 72.90317 72.71957 72.90109
[145] 72.74511 72.91863 72.95065 72.82470 72.71320 72.71021 72.84174 73.12825
[153] 73.40171 73.63669 73.77368 73.83819 73.98322 74.08073 74.17224 74.31425
[161] 74.34775 74.33628 74.15879 74.30927 74.24226 74.69477 75.04620 75.69916
[169] 76.08807 76.49605 76.36253 76.49008 76.43912 76.80516 76.56013 76.83713
[177] 76.87113 76.90668 76.90122 76.94775 76.63427 76.92073 76.38070 75.95814
[185] 76.11010 76.91813 77.10551 76.86355 77.03557 77.29210 77.30311 77.62867
[193] 78.04314 78.19911 78.14364 78.12167 78.41471 78.44968 78.62172 78.94122
[201] 78.95719 79.19223 79.31872 79.80223 79.39816 79.39513 78.95218 78.95414
[209] 78.68819 78.89267 78.75068 78.99569 78.60418 78.58365 78.81369 78.84368
[217] 78.95122 79.30724 79.82720 79.71913 79.73516 79.84920 79.69222 79.99872
[225] 80.57169 80.51062 80.74516 80.57266 80.89617 81.14515 81.55365 81.82112
[233] 81.83462 81.90418 82.40571 82.08465 82.37764 83.09913 83.32654 83.29507
[241] 82.85663 82.27010 83.02455 83.17147 83.02753 82.95058 83.00612 83.27117
[249] 83.48817 83.32217 83.41418 83.67721 83.62920 83.96022 84.33219 84.50716
[257] 84.32818 84.62768 85.12417 84.90362 84.89963 85.08918 85.16069 85.27772
[265] 85.25273 85.44276 85.18125 85.01773 84.99573 85.04825 84.93327 85.06577
[273] 85.15327 85.43578 85.50025 85.90727 86.08672 86.20322 86.81874 86.95915
[281] 86.77768 86.84618 87.10672 87.15270 87.99724 88.47611 88.72758 88.94610
[289] 89.28112 89.09812 89.38864 89.39014 89.46969 89.18772 89.07370 89.37221
[297] 89.34270 89.55423 89.67572 89.34174 89.28771 89.60273 88.96121 87.23164
[305] 87.69891 86.47943 87.42882 88.07976 88.41727 88.60634 88.52942 88.79550
[313] 89.28553 89.31502 89.16510 89.27513 89.10966 88.54868 88.47513 88.87616
[321] 88.97514 89.32367 89.34015 89.56120 89.69370 89.86222 89.61172 89.82421
[329] 89.80371 89.44624 89.72321 89.52670 89.74620 89.63120 90.21721 90.78964
[337] 90.75909 90.52764 90.67665 90.63018 90.72671 90.48523 90.25422 90.60021
[345] 90.37819 90.34269 90.49072 90.75723 90.93721 91.21222 91.66221 92.03716
[353] 92.41114 92.75113 93.36512 93.60607 92.66810 93.27651 94.94648 96.27878
[361] 96.48568 96.65430 96.41890 98.21546 97.18825 98.00223 98.18023 98.42434
[369] 98.46292 98.80202 99.63854 103.10847 103.49401 103.42364 102.67228 101.64680
[377] 100.26427 98.46770 98.05859 98.25269 98.77731 99.14284 100.19090 101.26333
[385] 101.64027 104.02084 103.76908 103.92571 103.09633 103.67633 104.21335 104.11738
[393] 104.68847 105.96597 106.04286 106.12496 104.97654 105.18496 105.13402 105.03308
[401] 105.07613 104.79518 104.63268 104.76769 104.32021 103.99018 103.39867 101.90563
[409] 102.80698 102.71442 102.13950 101.39549 99.41347 100.58177 97.98271 98.54448
[417] 98.04408 97.83217 98.15479 96.10636 95.29317 94.69019 94.50774 94.44535
[425] 94.70445 95.28800 95.38648 96.03855 95.42551 95.33399 95.19005 95.09410
[433] 93.93864 94.19301 94.15655 93.50361 92.61806 92.13599 92.50649 92.58201
[441] 91.60708 91.53199 91.89256 91.43356 90.81705 90.48602 90.54004 90.31361
[449] 91.27162 91.98101 93.28896 93.73532 93.83386 93.42796 93.62148 93.61403
[457] 92.50510 92.20999 91.65752 91.65551 92.32308 93.66303 94.32937 94.44686
[465] 94.83296 95.22548 95.27550 95.30558 95.01164 94.82114 95.01516 95.00367
[473] 94.06521 94.88460 95.61102 95.10247 94.94648 95.00753 94.88610 94.92964
[481] 94.98169 95.02972 95.04225 95.03778 95.11979 95.72780 95.77522 95.90025
[489] 96.13426 96.09325 96.00526 96.04677 96.24779 96.40728 96.39578 96.48579
[497] 96.93580 96.90324 96.94276 96.89729 96.81779 96.78230 96.60330 96.40279
[505] 95.04927 94.20460 94.17053 94.07909 94.09913 94.06019 94.01272 93.98624
[513] 94.20276 94.15125 93.97477 93.92526 93.75677 93.37926 93.38873 93.34676
[521] 93.26127 93.35828 93.33178 93.31880 93.18881 93.05330 92.97679 93.18629
[529] 93.18778 93.23229 93.17531 93.11781 93.10331 93.04182 93.12682 93.23282
[537] 93.24332 93.29183 93.39633 93.26983 93.28982 93.17083 93.24732 93.06382
[545] 93.13280 93.17431 93.19082 93.14283 93.28533 93.28732 93.25483 93.24533
[553] 93.22883 93.19984 93.06534 92.88732 92.82980 92.77130 92.73381 92.67181
[561] 92.61981 92.68931 92.70132 92.84783 92.84832 92.58933 92.95929 92.90325
[569] 93.84476 93.98113 94.76316 94.40007 94.34858 94.58513 94.62964 94.38269
[577] 94.45619 94.45622 94.52025 94.52127 94.60179 94.71030 94.68130 95.57081
[585] 96.35918 96.29659 96.27013 96.42968 96.35620 96.38122 96.49275 96.52676
[593] 96.41179 96.07079 96.06125 96.79627 96.77817 96.73671 96.78424 96.84826
[601] 96.98128 96.75828 96.89276 96.83177 96.78478 96.87329 96.89780 96.79381
[609] 96.81031 96.96332 96.86581 96.95281 96.59131 96.59577 96.48979 95.52379
[617] 95.60066 95.54720 95.56822 95.58376 95.51378 95.46229 95.32029 94.94429
[625] 94.84874 94.84975 94.31728 94.97471 95.09314 94.92517 94.62919 93.92018
[633] 93.98261 94.71816 94.33008 94.48558 94.45612 94.44867 94.35771 94.29072
[641] 94.31424 94.21827 94.04977 94.03527 94.07728 94.24230 94.21329 94.18480
[649] 94.25531 94.36832 94.76831 94.72576 95.21927 95.34371 95.11873 95.32422
[657] 95.01572 95.68671 96.15863 96.73110 96.82607 97.04112 96.91164 96.91167
[665] 97.01721 97.15223 97.39024 97.48523 98.06625 98.09418 98.11323 98.03926
[673] 98.20077 98.14777 98.17528 97.89780 97.74727 97.76177 97.59679 97.60878
[681] 97.72080 97.77080 97.67181 97.72931 97.90532 97.82380 97.90780 97.87631
[689] 97.86782 97.85382 98.07133 97.81581 97.89328 97.83379 97.91730 98.03080
[697] 97.96230 97.72181 97.87978 97.97878 98.49829 98.72972 98.97372 99.01772
[705] 99.29425 98.84373 99.09469 99.31619 99.38670 99.22873 99.60423 99.42371
[713] 99.12071 99.08270 98.81023 98.77921 98.72124 98.61326 98.64226 98.19129
[721] 97.97124 98.00373 97.63126 98.08723 98.14369 98.21822 97.70675 97.61570
[729] 97.66772 97.62525 97.80926 97.62176 97.60775 97.83627 98.09876 97.37924
[737] 97.14116 97.09367 97.07070 96.95123 96.72174 96.48723 96.57372 96.24024
[745] 96.10572 96.47173 96.14420 96.47518 96.59117 96.75220 96.88371 96.95623
[753] 96.85575 96.67226 96.75625 97.31527 97.54320 97.45570 97.07172 97.14119
[761] 96.95873 97.28423 97.16071 97.17622 97.30075 97.04626 97.24174 97.20824
[769] 96.86976 97.00073 97.14874 97.05575 96.95176 96.55726 96.46273 96.10474
[777] 95.89221 95.72121 96.03721 96.19670 96.26421 96.58274 96.50572 96.70324
[785] 96.93924 97.25323 97.32571 97.20474 97.26024 97.28477 97.38679 97.58630
[793] 97.53778 97.50979 97.57230 97.14431 96.98826 97.05926 97.49627 97.11073
[801] 97.14220 97.11724 97.12776 97.01128 96.98578 96.16879 95.75869 95.70916
[809] 95.89620 95.89621 96.10724 96.39074 96.53172 97.28123 98.06914 98.57406