Module backtest 

VaR backtesting: the Kupiec proportion-of-failures (POF) test.

Structs

KupiecTest

Result of a Kupiec POF likelihood-ratio test.

Functions

kupiec_pof

Kupiec (1995) unconditional-coverage test of a VaR model: exceptions days out of observations breached a confidence-level VaR. Under a correct model the breach frequency is 1 - confidence; the LR statistic is asymptotically chi-squared(1).