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)