www.gusucode.com > risk 案例源码程序 matlab代码 > risk/RunaSummaryReportVaRBacktestsforMultipleVaRsatDifferentCExample.m
%% Run a Summary Report for VaR Backtests for Multiple VaRs at Different Confidence Levels %% % Use the |varbacktest| constructor with name-value pair arguments to create % a |varbacktest| object and generate a summary report. 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]); S = summary(vbt)