Returns the VaR loss function described in Gonzalez-Rivera, Lee, and Mishra (2004) which is an appropriate function on which to compare models using such methods as the Model Confidence Set (MCS).

`VaRloss(alpha, actual, VaR)`

alpha

The quantile (coverage) used for the VaR.

actual

A numeric vector of the actual (realized) values.

VaR

The numeric vector of VaR.

Gonzalez-Rivera, G., Lee, T. H., and Mishra, S. 2004, Forecasting volatility:
A reality check based on option pricing, utility function, value-at-risk,
and predictive likelihood. *International Journal of Forecasting*,
**20(4)**, 629--645.