Dear Sir/MsThank you for your valuable and very helpful package (rugarch). Actually I am going to compare different GARCH models (VaR) by using this package but unfortunately ?I face a problem. The problem is related ?to the?back testing?method. For instance, in Qupiec ?test, the value of K (LRUC) ?is amounting to 0 and consequently p-value is equal to 1 for all models. I performed this procedure several times with various data but the results is same as I mentioned even for your own example. It would be appreciate if let me know the result is supposed to be like this or the problem rises from my programming.My program is enclosed to this email.Thank you again and I look forward hearing from you about that.Sincerely?Yours,Pantea HafezianPhD candidate in Finance,University Technology Malaysia (UTM)
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