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ExactVaRTest  

Exact Finite-Sample Value-at-Risk Back-Testing
View on CRAN: Click here


Download and install ExactVaRTest package within the R console
Install from CRAN:
install.packages("ExactVaRTest")

Install from Github:
library("remotes")
install_github("cran/ExactVaRTest")

Install by package version:
library("remotes")
install_version("ExactVaRTest", "0.1.3")



Attach the package and use:
library("ExactVaRTest")
Maintained by
Yujian Chen
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-08-22
Latest Update: 2025-08-22
Description:
Provides fast dynamic-programming algorithms in 'C++'/'Rcpp' (with pure 'R' fallbacks) for the exact finite-sample distributions and p-values of Christoffersen (1998) independence (IND) and conditional-coverage (CC) VaR backtests. For completeness, it also provides the exact unconditional-coverage (UC) test following Kupiec (1995) via a closed-form binomial enumeration. See Christoffersen (1998) <doi:10.2307/2527341> and Kupiec (1995) <doi:10.3905/jod.1995.407942>.
How to cite:
Yujian Chen (2025). ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing. R package version 0.1.3, https://cran.r-project.org/web/packages/ExactVaRTest. Accessed 09 Mar. 2026.
Previous versions and publish date:
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Complete documentation for ExactVaRTest
Functions, R codes and Examples using the ExactVaRTest R package
Full ExactVaRTest package functions and examples
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