www.gusucode.com > risk 案例源码程序 matlab代码 > risk/RunTUFFTestforVaRBacktestsforMultipleVaRsatDifferentConfExample.m

    %% Run the TUFF Test for VaR Backtests for Multiple VaRs at Different Confidence Levels  

%% 
% Use the |varbacktest| constructor with name-value pair arguments to create
% a |varbacktest| object. 
load VaRBacktestData
    vbt = varbacktest(EquityIndex,...
       [Normal95 Normal99 Historical95 Historical99 EWMA95 EWMA99],...
       'PortfolioID','Equity',...
       'VaRID',{'Normal95' 'Normal99' 'Historical95' 'Historical99' 'EWMA95' 'EWMA99'},...
       'VaRLevel',[0.95 0.99 0.95 0.99 0.95 0.99])    

%% 
% Generate the |tuff| test results using the |TestLevel| optional input. 
TestResults = tuff(vbt,'TestLevel',0.90)