Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It only takes a minute to sign up.
Sign up to join this community
I made value-at-risk forecasts for different models for the 95, 97.5 and 99%. I also made a dummy which equals 1 if the true return was below the value-at-risk, 0 otherwise.
How can I compare those models in their ability to forecast the value-at-risk with the Diebold-Mariano test?
