Optional ReadonlydistOptional ReadonlyexogenousGARCH-X: x aligned with the returns (garch and gjr); see FitOptions.exogenous. Forecasts hold it at its last value.
ReadonlylevelOptional ReadonlymeanA fitted constant (default) or zero; see FitOptions.mean.
Optional ReadonlymethodHow each origin's VaR is read: parametric (default) from the fitted
innovations' family (tailRisk); fhs, filtered historical simulation,
from the empirical quantile of that fit's standardised residuals over its
train window (filteredTailRisk).
Optional ReadonlyminOptional ReadonlymodelOptional ReadonlystepOptional ReadonlytargetVariance targeting (garch and gjr); see FitOptions.targetVariance.
varBacktest's specification: the model, the VaR level, the windows and how the VaR is read.