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The value of "First Failure' at 95% confidence level for exponential weighted moving average comes to '1'. Shouldn't the value be 77 like under historical and normal method instead of 1?
4년 초과 전 | 답변 수: 0 | 0
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답변질문
I have calculated Kupec's POF at 95% and 99% confidence levels. Under the 'Test level' column at last, all the values appear as 0.95. Shouldn't the values at 99% confidence level be 0.99? Please help.
4년 초과 전 | 답변 수: 1 | 0
1
답변질문
Arrary indices must be positive integers or logical values
for t=TestWindow i=t-TestWindowStart+1; EstimationWindow=t-EstimationWindowSize:t-1; Sigma=std(Returns(EstimationWindow)); N...
거의 5년 전 | 답변 수: 1 | 0
