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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.

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Thukten Tashi
Thukten Tashi on 15 Apr 2021 at 17:00
Edited: the cyclist on 15 Apr 2021 at 17:29

Answers (1)

the cyclist
the cyclist on 15 Apr 2021 at 17:25
Edited: the cyclist on 15 Apr 2021 at 17:29
The value-at-risk level and the confidence level at which you test that level, are two different things.
You can prove that for yourself by changing the 'TestLevel' input parameter.
You might want to investigate the reference listed at the bottom of the https://www.mathworks.com/help/risk/varbacktest.pof.html.

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