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runtests

Run all expected shortfall (ES) backtests for esbacktest object

Description

example

TestResults = runtests(ebt) runs all the tests for the esbacktest object. runtests reports only the final test result. For test details, such as p-values, run the individual tests:

example

TestResults = runtests(ebt,Name,Value) adds an optional name-value pair argument for TestLevel.

Examples

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Create an esbacktest object.

load ESBacktestData
ebt = esbacktest(Returns,VaRModel1,ESModel1,'VaRLevel',VaRLevel)
ebt = 
  esbacktest with properties:

    PortfolioData: [1966x1 double]
          VaRData: [1966x1 double]
           ESData: [1966x1 double]
      PortfolioID: "Portfolio"
            VaRID: "VaR"
         VaRLevel: 0.9750

Generate the TestResults report for all ES backtests.

TestResults = runtests(ebt,'TestLevel',0.99)
TestResults=1×5 table
    PortfolioID    VaRID    VaRLevel    UnconditionalNormal    UnconditionalT
    ___________    _____    ________    ___________________    ______________

    "Portfolio"    "VaR"     0.975            reject               accept    

Generate the TestResults report for all ES backtests using the name-value argument for 'ShowDetails' to display the test confidence level.

TestResults = runtests(ebt,'TestLevel',0.99,'ShowDetails',true)
TestResults=1×6 table
    PortfolioID    VaRID    VaRLevel    UnconditionalNormal    UnconditionalT    TestLevel
    ___________    _____    ________    ___________________    ______________    _________

    "Portfolio"    "VaR"     0.975            reject               accept          0.99   

Input Arguments

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esbacktest (ebt) object, which contains a copy of the given data (the PortfolioData, VarData, and ESData properties) and all combinations of portfolio ID, VaR ID, and VaR levels to be tested. For more information on creating an esbacktest object, see esbacktest.

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: TestResults = runtests(ebt,'TestLevel',0.99)

Test confidence level, specified as the comma-separated pair consisting of 'TestLevel' and a numeric value between 0.5 and 0.9999.

Data Types: double

Indicates if the output displays a column showing the test confidence level, specified as the comma-separated pair consisting of 'ShowDetails' and a scalar logical value.

Data Types: logical

Output Arguments

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Results, returned as a table where the rows correspond to all combinations of portfolio ID, VaR ID, and VaR levels to be tested. The columns correspond to the following information:

  • 'PortfolioID' — Portfolio ID for the given data

  • 'VaRID' — VaR ID for each of the VaR data columns provided

  • 'VaRLevel' — VaR level for the corresponding VaR data column

  • 'UnconditionalNormal'— Categorical array with categories 'accept' and 'reject' that indicate the result of the unconditional normal test

  • 'UnconditionalT' — Categorical array with categories 'accept' and 'reject' that indicate the result of the unconditional t test

Note

For the test results, the terms 'accept' and 'reject' are used for convenience. Technically, a test does not accept a model; rather, a test fails to reject it.

Introduced in R2017b