GARCHBACKTEST—Rolling GARCH Estimation

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

GARCHBACKTEST—Rolling GARCH Estimation

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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.

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Last bumped by TomDoan on Sat Nov 29, 2025 9:09 pm.
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