Backtest results for the VaR measure
| GARCH (1, 1) | Extended GARCH (1, 1) | TGARCH | Extended TGARCH | EGARCH | Extended EGARCH | |
|---|---|---|---|---|---|---|
| VaR | −2.045 | −2.003 | −2.050 | −2.002 | −2.013 | −2.025 |
| Failure ratio (%) | 4.332 | 4.322 | 4.106 | 4.106 | 4.422 | 4.061 |
| GARCH (1, 1) | Extended GARCH (1, 1) | TGARCH | Extended TGARCH | EGARCH | Extended EGARCH | |
|---|---|---|---|---|---|---|
| VaR | −2.045 | −2.003 | −2.050 | −2.002 | −2.013 | −2.025 |
| Failure ratio (%) | 4.332 | 4.322 | 4.106 | 4.106 | 4.422 | 4.061 |
Notes: Risk measures are computed at 5 percent quantiles over the sample period. Following the related literature, the failure ratio represents the percentage of negative returns smaller than the VaR
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