www.gusucode.com > risk 案例源码程序 matlab代码 > risk/RunVaRBacktestsforMultipleVaRsatDifferentConfidenceLevelExample.m
%% Run VaR Backtests for Multiple VaRs at Different Confidence Levels %% % Create a |varbacktest| object that has multiple VaR identifiers with different % confidence levels. 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]); %% % Run the summary report for the |varbacktest| object. summary(vbt) %% % Run all tests using the |varbacktest| object. runtests(vbt) %% % Run the traffic light test (|<docid:risk_ug.bvabhvb tl>|) using the |varbacktest| % object. tl(vbt)