ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing
Provides fast dynamic-programming algorithms in 'C++'/'Rcpp' (with pure 'R' fallbacks) for the exact finite-sample distributions and p-values of Christoffersen (1998) independence (IND) and conditional-coverage (CC) VaR backtests. For completeness, it also provides the exact unconditional-coverage (UC) test following Kupiec (1995) via a closed-form binomial enumeration. See Christoffersen (1998) <doi:10.2307/2527341> and Kupiec (1995) <doi:10.3905/jod.1995.407942>.
| Version: | 0.1.3 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp, stats |
| LinkingTo: | Rcpp |
| Suggests: | bench,dplyr,tidyr,purrr,ggplot2,xts,quantmod,knitr,rmarkdown,testthat (≥ 3.0.0) |
| Published: | 2025-08-22 |
| DOI: | 10.32614/CRAN.package.ExactVaRTest |
| Author: | Yujian Chen [aut, cre] |
| Maintainer: | Yujian Chen <yjc4996 at gmail.com> |
| BugReports: | https://github.com/YujianCHEN219/ExactVaRTest/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/YujianCHEN219/ExactVaRTest |
| NeedsCompilation: | yes |
| Language: | en-US |
| Materials: | README,NEWS |
| CRAN checks: | ExactVaRTest results |
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