diff --git a/internal/eval/var.go b/internal/eval/var.go index 5efe236..a61d3c5 100644 --- a/internal/eval/var.go +++ b/internal/eval/var.go @@ -8,7 +8,8 @@ import "math" // breach_t = actualVol[t] > VaR_99_t (strict inequality) // breachRate = fraction of breaches over all steps // kupiecP = Kupiec POF p-value: P(chi²(1) > LR) where LR is the likelihood ratio -// testing H0: true breach probability = 1%. High p = well-calibrated. +// +// testing H0: true breach probability = 1%. High p = well-calibrated. // // Returns (0, 1) for empty or mismatched input. func VaRBreachRate(predVol, actualVol []float64, z99 float64) (breachRate, kupiecP float64) {