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Question
How to fix "Error using esbacktest/findMissing (line 436) Empty data set after removing missing values. Error in esbacktest (line 284) - obj.IsMissing = findMissing(obj);"
I'm trying to do a ES Backtesting but I continue getting this message and I don't know how to fix it: "Error using esbacktest/f...
plus de 7 ans il y a | 1 réponse | 0
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réponsevalue at risk estimation and backtesting
Check your the "TestWindowStart" and the "EstimationWindowSize", I don't know exactly, but the TestWindowStart must be greater t...
plus de 7 ans il y a | 0
Question
How can I use the conditional mean and variance calculated by ARMA and GARCH models, in the Value at Risk and Expected Shortfall calculation?
I have been trying to perfom a backtesting for VaR and CVaR as it follows: %%Backtesting SampleSize = length(RCOP); TestWind...
plus de 7 ans il y a | 1 réponse | 0
