arch.univariate.var_ratio¶

arch.univariate.var_ratio(level: float = 0.999, distribution: Distribution | None = None, parameters: Sequence[float] | ndarray[tuple[int], dtype[float64]] | Series | None = None) → float[source]¶

Ratio of Gaussian VaR to model-distribution VaR.

Parameters:¶

level: float = 0.999¶

VaR confidence level. Must be finite and between 0.5 and 1.0, exclusive.

distribution: Distribution | None = None¶

Standardized distribution used to compute the model VaR. If not provided, uses the standard normal distribution.

parameters: Sequence[float] | ndarray[tuple[int], dtype[float64]] | Series | None = None¶

Distribution parameters. Must have one finite element for each parameter of distribution. Use None for parameterless distributions.

Returns:¶

Ratio of the Gaussian left-tail VaR to the VaR implied by the supplied model distribution.

Return type:¶

float

Raises:¶

• TypeError – If level is not a real number, distribution is not a Distribution or parameters cannot be converted to numbers.

• ValueError – If level is not in (0.5, 1.0), parameters does not have one finite element for each parameter of the distribution, or the model distribution does not produce a positive finite VaR.