@krzysztofsztompka/garch
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    Type Alias VarBacktest

    VarBacktest: CoverageTest & {
        forecasts: readonly {
            origin: number;
            realized: number;
            valueAtRisk: number;
        }[];
        skipped: number;
    }

    A walked-forward one-step VaR: every forecast and the return that came, and the coverage tests of the violations.

    Type Declaration

    • Readonlyforecasts: readonly { origin: number; realized: number; valueAtRisk: number }[]

      One per scored origin: the VaR forecast for origin + 1 and the return that came.

    • Readonlyskipped: number

      Origins whose fit did not converge.

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