A backtest of 2.5% VaR with 500 observations yields 20 exceedances. Compute the unconditional coverage statistics for

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A backtest of 2.5% VaR with 500 observations yields 20 exceedances. Compute the unconditional coverage statistics for this backtest. The 1% and 5% critical values for the chi-squared distribution with 1 degree of freedom are 6.6349 and 3.8415.

Posted Date: May 19, 2024 02:03 PM

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A backtest of 2.5% VaR with 500 observations yields 20 exceedances. Compute the unconditional coverage statistics for

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