[R] rugarch package: VaRTest()

Dear all, I want to backtest my Value at Risk output using the VaRTest() function in the rugarch package. I do not understand if the numeric vector of VaR which needs to be calculated is in negative or positive terms. Usually VaR is expressed in positive terms. Do I have to use positive valu

[R] Using mfx to create marginal effects

Dear all, I am trying to estimate the marginal effects of a logit regression using the mfx package. It is crucial that the standard errors are clustered at the year level. Hence, the code looks as follows: marginal.t24.2<-logitmfx(stock.market.crash~crash.t24+bubble.t24+RV.t24,data=Data_logit

[R] Augmented Dickey Fuller test

Dear all, I am trying to run an ADF test using the adf.test() function in the tseries package and the ur.df() function in the urca package. The results I get contrast sharply. Whilst the adf.test() indicates stationarity which is in line with the corresponding graph, the ur.df() indicates non-s