Backtesting VaR: Kupiec coverage test (Excel)
Kupiec (1995) unconditional coverage test (UCT) is one of the most famous backtesting procedures for Value-at-Risk. Today we are investigating the concepts behind it and implement it in Excel. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Econometrics! Please consider supporting NEDL on Patreon: / nedleducation
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