Table 6 Backtesting results at 95%...

Table 6

Backtesting results at 95% confidence level

Market	G-N	G-SN	G-T	G-ST	E-G-N	E-G-SN	E-G-T	E-G-ST	GJR-G-N	GJR-G-SN	GJR-G-T	GJR-G-ST	C-AD	C-SAV	C-AS	C-IG
Panel A: Latin American emerging markets
Colombia
Mean	−2.864	−2.916	−2.768	−2.800	−2.699	−2.717	−2.599	−2.613	−2.902	−2.942	−2.798	−2.613	−3.522	−3.051	−2.794	−3.078
SD	2.369	2.383	2.223	2.239	1.779	1.709	1.674	1.675	2.560	2.565	2.397	1.675	2.553	2.505	2.556	2.697
LRuc	1.981	1.487	1.487	1.487	1.487	0.703	2.539	2.539	1.981	1.487	1.981	2.539	0.003	0.703	4.584	0.201
LRcc	3.544	3.332	3.332	3.332	3.332	3.193	3.847	3.847	5.378	5.318	5.378	3.847	7.176*	1.551	4.792	0.354
DQ	12.973*	13.803*	7.549	13.768*	11.793*	9.648*	17.194*	17.172*	13.899*	11.833*	11.196*	17.172*	32.487*	7.549	14.451*	1.201
Chile
Mean	−2.994	−3.026	−2.704	−2.716	−2.935	−2.98	−2.615	−2.612	−3.072	−3.153	−2.832	−2.84	−3.17	−2.765	−2.699	−2.802
SD	1.721	1.738	1.309	1.318	1.369	1.391	1.000	1.004	1.84	1.887	1.624	1.631	1.13	1.634	1.665	1.781
LRuc	1.981	1.981	8.122*	8.122*	1.487	1.487	7.155*	7.155*	1.981	1.487	6.242*	7.155*	0.416	10.213*	12.508*	11.336*
LRcc	3.544	3.544	9.076*	9.076*	1.999	1.999	7.431*	7.431*	1.989	1.487	6.635*	7.431*	5.746	10.265*	12.509*	11.782*
DQ	20.199*	20.231*	24.921*	25.001*	14.437*	14.483*	23.083*	23.113*	21.997*	23.449*	24.043*	23.113*	4.841	28.183*	33.192*	27.794*
Mexico
Mean	−2.659	−2.741	−2.519	−2.592	−2.659	−2.750	−2.512	−2.604	−2.668	−2.752	−2.514	−2.588	−3.180	−2.731	−2.565	−2.680
SD	1.310	1.343	1.145	1.178	1.236	1.268	1.141	1.182	1.438	1.478	1.334	1.372	1.600	1.407	1.367	1.398
LRuc	1.981	1.487	3.160	3.160	0.703	0.201	3.842	1.061	1.061	0.416	2.539	1.061	0.416	0.703	1.061	0.703
LRcc	10.634*	7.859*	10.432*	10.432*	3.193	3.456	6.122*	3.214	8.061*	5.746	10.481*	3.214	3.272	4.424	5.043	4.424
DQ	22.680*	18.350*	20.440*	20.442*	7.330	9.858*	15.169*	10.098*	21.270*	14.384*	22.305*	10.098*	29.222*	15.103*	7.549	4.841
Peru
Mean	−1.839	−1.883	−1.697	−1.758	−1.810	−1.847	−1.672	−1.726	−1.882	−1.917	−1.737	−1.797	−2.228	−1.842	−1.788	−1.858
SD	1.050	1.076	0.877	0.899	0.917	0.941	0.764	0.784	1.177	1.196	1.001	1.026	1.071	0.886	1.019	0.973
LRuc	2.539	1.487	4.584*	3.160	1.487	1.487	11.336*	6.242*	1.981	0.703	6.242*	6.242*	1.981	1.487	2.539	1.061
LRcc	13.635*	10.893*	13.325*	13.429*	10.893*	10.893*	15.887*	13.611*	7.762*	8.371*	13.611*	13.611*	10.634*	5.318	2.803	5.357
DQ	35.042**	28.498*	28.952*	31.048*	21.085*	21.113*	29.496*	27.938*	17.619*	20.505*	27.451*	27.938*	39.674*	7.330	4.841	7.549
MILA
Mean	−2.515	−2.542	−2.363	−2.378	−2.398	−2.385	−2.277	−2.265	−2.607	−2.628	−2.471	−2.465	−3.093	−2.649	−2.419	−2.546
SD	1.685	1.695	1.467	1.47	1.342	1.305	1.17	1.158	1.938	1.942	1.803	1.788	1.551	1.976	1.981	1.877
LRuc	5.385*	5.385*	12.508*	12.508*	5.385*	4.584*	10.213*	10.213*	3.16	3.16	7.155*	10.213*	0.416	3.842	3.842	4.584*
LRcc	10.865*	10.865*	14.925**	14.925*	5.915	5.274	10.806*	10.806*	4.238	4.238	9.738*	10.806*	1.468	6.122*	5.177	6.547*
DQ	26.207*	26.211*	34.525*	34.532*	20.786*	21.296*	26.682*	26.680*	18.130*	18.142*	20.867*	26.680*	7.549	17.809*	9.078	10.923*
Accuracy	0%	0%	20%	0%	20%	0%	0%	0%	0%	0%	0%	0%	40%	40%	60%	60%

Market	G-N	G-SN	G-T	G-ST	E-G-N	E-G-SN	E-G-T	E-G-ST	GJR-G-N	GJR-G-SN	GJR-G-T	GJR-G-ST	C-AD	C-SAV	C-AS	C-IG
Panel A: Latin American emerging markets
Colombia
Mean	−2.864	−2.916	−2.768	−2.800	−2.699	−2.717	−2.599	−2.613	−2.902	−2.942	−2.798	−2.613	−3.522	−3.051	−2.794	−3.078
SD	2.369	2.383	2.223	2.239	1.779	1.709	1.674	1.675	2.560	2.565	2.397	1.675	2.553	2.505	2.556	2.697
LRuc	1.981	1.487	1.487	1.487	1.487	0.703	2.539	2.539	1.981	1.487	1.981	2.539	0.003	0.703	4.584	0.201
LRcc	3.544	3.332	3.332	3.332	3.332	3.193	3.847	3.847	5.378	5.318	5.378	3.847	7.176*	1.551	4.792	0.354
DQ	12.973*	13.803*	7.549	13.768*	11.793*	9.648*	17.194*	17.172*	13.899*	11.833*	11.196*	17.172*	32.487*	7.549	14.451*	1.201
Chile
Mean	−2.994	−3.026	−2.704	−2.716	−2.935	−2.98	−2.615	−2.612	−3.072	−3.153	−2.832	−2.84	−3.17	−2.765	−2.699	−2.802
SD	1.721	1.738	1.309	1.318	1.369	1.391	1.000	1.004	1.84	1.887	1.624	1.631	1.13	1.634	1.665	1.781
LRuc	1.981	1.981	8.122*	8.122*	1.487	1.487	7.155*	7.155*	1.981	1.487	6.242*	7.155*	0.416	10.213*	12.508*	11.336*
LRcc	3.544	3.544	9.076*	9.076*	1.999	1.999	7.431*	7.431*	1.989	1.487	6.635*	7.431*	5.746	10.265*	12.509*	11.782*
DQ	20.199*	20.231*	24.921*	25.001*	14.437*	14.483*	23.083*	23.113*	21.997*	23.449*	24.043*	23.113*	4.841	28.183*	33.192*	27.794*
Mexico
Mean	−2.659	−2.741	−2.519	−2.592	−2.659	−2.750	−2.512	−2.604	−2.668	−2.752	−2.514	−2.588	−3.180	−2.731	−2.565	−2.680
SD	1.310	1.343	1.145	1.178	1.236	1.268	1.141	1.182	1.438	1.478	1.334	1.372	1.600	1.407	1.367	1.398
LRuc	1.981	1.487	3.160	3.160	0.703	0.201	3.842	1.061	1.061	0.416	2.539	1.061	0.416	0.703	1.061	0.703
LRcc	10.634*	7.859*	10.432*	10.432*	3.193	3.456	6.122*	3.214	8.061*	5.746	10.481*	3.214	3.272	4.424	5.043	4.424
DQ	22.680*	18.350*	20.440*	20.442*	7.330	9.858*	15.169*	10.098*	21.270*	14.384*	22.305*	10.098*	29.222*	15.103*	7.549	4.841
Peru
Mean	−1.839	−1.883	−1.697	−1.758	−1.810	−1.847	−1.672	−1.726	−1.882	−1.917	−1.737	−1.797	−2.228	−1.842	−1.788	−1.858
SD	1.050	1.076	0.877	0.899	0.917	0.941	0.764	0.784	1.177	1.196	1.001	1.026	1.071	0.886	1.019	0.973
LRuc	2.539	1.487	4.584*	3.160	1.487	1.487	11.336*	6.242*	1.981	0.703	6.242*	6.242*	1.981	1.487	2.539	1.061
LRcc	13.635*	10.893*	13.325*	13.429*	10.893*	10.893*	15.887*	13.611*	7.762*	8.371*	13.611*	13.611*	10.634*	5.318	2.803	5.357
DQ	35.042**	28.498*	28.952*	31.048*	21.085*	21.113*	29.496*	27.938*	17.619*	20.505*	27.451*	27.938*	39.674*	7.330	4.841	7.549
MILA
Mean	−2.515	−2.542	−2.363	−2.378	−2.398	−2.385	−2.277	−2.265	−2.607	−2.628	−2.471	−2.465	−3.093	−2.649	−2.419	−2.546
SD	1.685	1.695	1.467	1.47	1.342	1.305	1.17	1.158	1.938	1.942	1.803	1.788	1.551	1.976	1.981	1.877
LRuc	5.385*	5.385*	12.508*	12.508*	5.385*	4.584*	10.213*	10.213*	3.16	3.16	7.155*	10.213*	0.416	3.842	3.842	4.584*
LRcc	10.865*	10.865*	14.925**	14.925*	5.915	5.274	10.806*	10.806*	4.238	4.238	9.738*	10.806*	1.468	6.122*	5.177	6.547*
DQ	26.207*	26.211*	34.525*	34.532*	20.786*	21.296*	26.682*	26.680*	18.130*	18.142*	20.867*	26.680*	7.549	17.809*	9.078	10.923*
Accuracy	0%	0%	20%	0%	20%	0%	0%	0%	0%	0%	0%	0%	40%	40%	60%	60%

Market	G-N	G-SN	G-T	G-ST	E-G-N	E-G-SN	E-G-T	E-G-ST	GJR-G-N	GJR-G-SN	GJR-G-T	GJR-G-ST	C-AD	C-SAV	C-AS	C-IG
Panel B: Asian emerging markets
Philippines
Mean	−2.210	−2.256	−2.132	−2.159	−2.165	−2.210	−2.050	−2.086	−2.270	−2.313	−2.200	−2.234	−2.372	−2.081	−1.957	−2.198
SD	1.223	1.236	1.123	1.150	0.934	0.945	0.795	0.825	1.386	1.404	1.294	1.333	1.006	0.945	0.944	1.377
LRuc	1.061	1.061	1.487	1.487	0.063	0.128	1.487	1.487	0.703	0.416	2.539	1.981	0.023	1.487	1.981	1.487
LRcc	5.043	5.043	5.740	5.740	3.058	2.480	5.740	5.740	4.424	3.886	7.360*	6.512*	2.581	5.740	6.512*	5.602
DQ	8.265	8.266	8.260	8.257	10.586*	9.247	10.706*	10.706*	8.598	8.870	8.812	8.417	8.870	8.347	10.800*	8.756
Singapore
Mean	−1.663	−1.710	−1.617	−1.620	−1.620	−1.664	−1.585	−1.590	−1.696	−1.737	−1.650	−1.652	−1.843	−1.710	−1.647	−1.726
SD	0.990	1.018	0.973	0.977	0.781	0.809	0.826	0.832	1.024	1.049	1.023	1.027	0.937	1.000	1.102	1.046
LRuc	4.584*	2.539	6.242*	6.242*	3.842	1.981	5.385*	5.385*	3.842	2.539	4.584*	4.584*	0.416	2.539	1.061	1.981
LRcc	4.792	2.572	6.646*	6.646*	3.975	1.989	5.683	5.683	3.975	2.572	4.792	4.792	3.272	3.847	1.602	2.799
DQ	7.196	5.700	11.934*	11.936*	9.414	9.649*	11.075*	11.065*	8.041	7.609	8.394	8.394	27.400*	17.337*	5.236	3.756
Indonesia
Mean	−2.099	−2.188	−2.034	−2.121	−2.075	−2.149	−1.993	−2.094	−2.175	−2.254	−2.085	−2.189	−2.629	−2.169	−2.029	−2.153
SD	1.189	1.232	1.241	1.290	1.087	1.113	1.138	1.193	1.323	1.361	1.342	1.411	1.813	1.447	1.308	1.440
LRuc	0.703	0.201	3.842	1.981	0.201	0.023	2.539	0.201	0.201	0.003	1.981	0.416	0.703	0.703	0.063	0.703
LRcc	8.371*	9.336*	8.065*	7.762*	6.106*	2.155	7.767*	1.483	3.456	1.822	5.378	1.468	3.193	5.498	0.215	5.498
DQ	30.400*	29.482*	22.270*	22.448*	24.411*	18.511*	24.175*	8.817	18.894*	11.284*	16.788	7.299	8.817	16.426*	2.997	14.758*
Thailand
Mean	−1.981	−2.010	−1.897	−1.955	−1.808	−1.828	−1.748	−1.791	−1.963	−1.994	−1.894	−1.954	−2.288	−2.095	−1.930	−2.038
SD	1.381	1.381	1.253	1.295	0.938	0.927	0.916	0.931	1.468	1.471	1.418	1.458	1.507	1.565	1.464	1.612
LRuc	1.487	1.061	3.842	2.539	1.981	1.981	3.842	2.539	1.487	1.061	3.842	1.981	0.023	1.981	3.160	3.160
LRcc	5.740	5.043	5.177	7.360*	6.512*	6.512*	9.270*	7.360*	5.740	5.043	9.270*	6.512*	2.581	2.799	8.279*	4.310
DQ	33.843*	35.030*	28.327*	32.327*	23.387*	23.428*	28.218*	22.501*	19.424*	14.218*	18.976*	18.892*	24.503*	22.149*	13.059*	22.452*
Malaysia
Mean	−1.584	−1.622	−1.530	−1.549	−1.536	−1.565	−1.498	−1.510	−1.580	−1.614	−1.533	−1.551	−1.717	−1.572	−1.574	−1.572
SD	0.834	0.851	0.804	0.816	0.703	0.707	0.697	0.703	0.826	0.836	0.809	0.820	0.781	0.874	0.899	0.908
LRuc	0.416	0.201	0.416	0.416	2.539	1.487	3.160	2.539	0.416	0.063	0.416	0.416	0.003	1.487	1.487	0.416
LRcc	0.501	0.354	0.501	0.501	2.803	1.999	3.332	2.803	0.501	0.302	0.501	0.501	1.822	1.999	1.487	0.501
DQ	11.436*	10.695*	11.223*	11.219*	10.415*	7.635	10.982*	10.746*	9.876*	9.587*	10.835*	10.84*	26.717*	9.440	8.398	8.979
Accuracy	20%	40%	20%	20%	20%	40%	0%	20%	40%	40%	0%	20%	40%	40%	60%	60%

Market	G-N	G-SN	G-T	G-ST	E-G-N	E-G-SN	E-G-T	E-G-ST	GJR-G-N	GJR-G-SN	GJR-G-T	GJR-G-ST	C-AD	C-SAV	C-AS	C-IG
Panel B: Asian emerging markets
Philippines
Mean	−2.210	−2.256	−2.132	−2.159	−2.165	−2.210	−2.050	−2.086	−2.270	−2.313	−2.200	−2.234	−2.372	−2.081	−1.957	−2.198
SD	1.223	1.236	1.123	1.150	0.934	0.945	0.795	0.825	1.386	1.404	1.294	1.333	1.006	0.945	0.944	1.377
LRuc	1.061	1.061	1.487	1.487	0.063	0.128	1.487	1.487	0.703	0.416	2.539	1.981	0.023	1.487	1.981	1.487
LRcc	5.043	5.043	5.740	5.740	3.058	2.480	5.740	5.740	4.424	3.886	7.360*	6.512*	2.581	5.740	6.512*	5.602
DQ	8.265	8.266	8.260	8.257	10.586*	9.247	10.706*	10.706*	8.598	8.870	8.812	8.417	8.870	8.347	10.800*	8.756
Singapore
Mean	−1.663	−1.710	−1.617	−1.620	−1.620	−1.664	−1.585	−1.590	−1.696	−1.737	−1.650	−1.652	−1.843	−1.710	−1.647	−1.726
SD	0.990	1.018	0.973	0.977	0.781	0.809	0.826	0.832	1.024	1.049	1.023	1.027	0.937	1.000	1.102	1.046
LRuc	4.584*	2.539	6.242*	6.242*	3.842	1.981	5.385*	5.385*	3.842	2.539	4.584*	4.584*	0.416	2.539	1.061	1.981
LRcc	4.792	2.572	6.646*	6.646*	3.975	1.989	5.683	5.683	3.975	2.572	4.792	4.792	3.272	3.847	1.602	2.799
DQ	7.196	5.700	11.934*	11.936*	9.414	9.649*	11.075*	11.065*	8.041	7.609	8.394	8.394	27.400*	17.337*	5.236	3.756
Indonesia
Mean	−2.099	−2.188	−2.034	−2.121	−2.075	−2.149	−1.993	−2.094	−2.175	−2.254	−2.085	−2.189	−2.629	−2.169	−2.029	−2.153
SD	1.189	1.232	1.241	1.290	1.087	1.113	1.138	1.193	1.323	1.361	1.342	1.411	1.813	1.447	1.308	1.440
LRuc	0.703	0.201	3.842	1.981	0.201	0.023	2.539	0.201	0.201	0.003	1.981	0.416	0.703	0.703	0.063	0.703
LRcc	8.371*	9.336*	8.065*	7.762*	6.106*	2.155	7.767*	1.483	3.456	1.822	5.378	1.468	3.193	5.498	0.215	5.498
DQ	30.400*	29.482*	22.270*	22.448*	24.411*	18.511*	24.175*	8.817	18.894*	11.284*	16.788	7.299	8.817	16.426*	2.997	14.758*
Thailand
Mean	−1.981	−2.010	−1.897	−1.955	−1.808	−1.828	−1.748	−1.791	−1.963	−1.994	−1.894	−1.954	−2.288	−2.095	−1.930	−2.038
SD	1.381	1.381	1.253	1.295	0.938	0.927	0.916	0.931	1.468	1.471	1.418	1.458	1.507	1.565	1.464	1.612
LRuc	1.487	1.061	3.842	2.539	1.981	1.981	3.842	2.539	1.487	1.061	3.842	1.981	0.023	1.981	3.160	3.160
LRcc	5.740	5.043	5.177	7.360*	6.512*	6.512*	9.270*	7.360*	5.740	5.043	9.270*	6.512*	2.581	2.799	8.279*	4.310
DQ	33.843*	35.030*	28.327*	32.327*	23.387*	23.428*	28.218*	22.501*	19.424*	14.218*	18.976*	18.892*	24.503*	22.149*	13.059*	22.452*
Malaysia
Mean	−1.584	−1.622	−1.530	−1.549	−1.536	−1.565	−1.498	−1.510	−1.580	−1.614	−1.533	−1.551	−1.717	−1.572	−1.574	−1.572
SD	0.834	0.851	0.804	0.816	0.703	0.707	0.697	0.703	0.826	0.836	0.809	0.820	0.781	0.874	0.899	0.908
LRuc	0.416	0.201	0.416	0.416	2.539	1.487	3.160	2.539	0.416	0.063	0.416	0.416	0.003	1.487	1.487	0.416
LRcc	0.501	0.354	0.501	0.501	2.803	1.999	3.332	2.803	0.501	0.302	0.501	0.501	1.822	1.999	1.487	0.501
DQ	11.436*	10.695*	11.223*	11.219*	10.415*	7.635	10.982*	10.746*	9.876*	9.587*	10.835*	10.84*	26.717*	9.440	8.398	8.979
Accuracy	20%	40%	20%	20%	20%	40%	0%	20%	40%	40%	0%	20%	40%	40%	60%	60%

Note(s): LRuc is the unconditional coverage test of Kupiec (1995), LRcc is the conditional coverage test of Christoffersen (1998) and DQ is the dynamic quantile test of Engle and Manganelli (2004). The critical values of the LRuc, LRcc and DQ are 3.84, 5.99 and 9.49, respectively. * indicates that the model does not pass the coverage test at the 5% significance level

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