Result.Generator <- function(N=1000, i=1, l=.01)
{
################################################################################
#                                                                              #
#       Result.Generator Function by Breno de Andrade Pinheiro Néri            #
#                                                                              #
#            brenoneri@gmail.com        www.fgv.br/aluno/bneri                 #
#                                                                              #
#                                                  September, 2005 - Version 1 #
#                                                                              #
################################################################################
#                                                                              #
# This function computes and prints the frequency of rejection of the five     #
# backtests generated by MC_VaR.R or MC_VaRox.R codes, by Breno Néri, namely:  #
# 1- Kupiec (1995), Unconditional Coverage;                                    #
# 2- Christoffersen (1997), Independence;                                      #
# 3- Christoffersen (1997), Conditional Coverage;                              #
# 4- Engle and Manganelli (2002), Dynamic Quantile;                            #
# 5- Lopez (1998), Magnitude Loss Function.                                    #
#                                                                              #
# You enter the number of replications generated by the Monte Carlo (N), the   #
# choosen DGP (i), and the Significance Level of the tests (l).                #
#                                                                              #
# Defaults: N=1000, i=1, l=1%.                                                 #
#                                                                              #
################################################################################
#                                                                              #
# You may use this code only if you accept the conditions:                     #
# (1) I am not liable for any problem caused by this code (i.e. you use it at  #
# your own risk);                                                              #
# (2) You must give me credit in your papers where this code has been used.    #
#                                                                              #
################################################################################
res <- array(0, c(N,7,5))
for(j in 1:N)
{
    load(paste("MC_VaR", i, j, "R", sep="."))
    for(k in 1:5) res[j,,k] <- result[[7+k]]
}
cat("\nKupiec's Test Size for Unconditional Coverage at", 100*l, "% =", apply((res[,,1]<l), 2, mean))
cat("\nChristoffersen's Test Size for Independence at", 100*l, "% =", apply((res[,,2]<l), 2, mean))
cat("\nChristoffersen's Test Size for Conditional Coverage at", 100*l, "% =", apply((res[,,3]<l), 2, mean))
cat("\nEngle and Manganelli's Test Size of the Dynamic Quantile at", 100*l, "% =", apply((res[,,4]<l), 2, mean))
cat("\nMean Lopez's Magnitude Loss Function =", apply(res[,,5], 2, mean), "\n")
}