Table 7 Backtesting results at 99%...

Table 7

Backtesting results at 99% 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	−4.068	−4.172	−4.598	−4.663	−3.823	−3.869	−4.285	−4.318	−4.111	−4.192	−4.619	−4.660	−8.740	−4.603	−4.562	−4.700
SD	3.350	3.405	3.662	3.700	2.514	2.434	2.728	2.733	3.619	3.653	3.916	3.932	5.142	3.252	3.503	3.865
LRuc	10.456*	8.496*	6.694*	3.618	12.563*	14.807*	3.618	3.618	12.563*	8.496*	3.618	3.618	2.377	0.604	1.363	2.377
LRcc	18.688*	17.649*	11.654*	10.044*	19.960*	21.445*	5.419	5.419	19.960*	17.649*	5.419	5.419	9.690*	3.745	1.616	4.555
DQ	76.277*	79.012*	40.150*	43.356*	78.046*	88.613*	20.799*	20.799*	73.887*	78.733*	14.357*	14.357*	162.539*	14.508*	3.366	2.844
Chile
Mean	−4.232	−4.294	−4.510	−4.536	−4.149	−4.232	−4.314	−4.308	−4.338	−4.482	−4.669	−4.687	−6.916	−4.729	−4.478	−4.684
SD	2.433	2.472	2.206	2.229	1.935	1.981	1.671	1.680	2.601	2.693	2.688	2.707	3.432	2.822	2.630	3.131
LRuc	25.006*	22.286*	17.181*	17.181*	19.676*	17.181*	10.456*	12.563*	17.181*	10.456*	6.694*	6.694*	2.377	10.456*	6.694*	10.456*
LRcc	26.500*	24.069*	19.645*	19.645*	21.781*	17.481*	11.240*	13.465*	17.481*	11.205*	7.891*	7.891*	2.698	11.240*	7.268*	11.240*
DQ	70.104*	67.378*	70.665*	70.726*	68.995*	56.961*	41.519*	41.932*	57.925*	30.356*	27.523*	27.592*	59.005*	27.449*	15.835*	46.132*
Mexico
Mean	−3.757	−3.922	−4.018	−4.151	−3.745	−3.928	−3.997	−4.169	−3.762	−3.932	−4.013	−4.151	−5.068	−5.145	−5.130	−4.926
SD	1.851	1.924	1.836	1.901	1.745	1.818	1.829	1.914	2.031	2.117	2.148	2.226	1.966	3.565	3.243	2.972
LRuc	6.694*	3.618	0.604	0.004	3.618	0.135	0.281	0.281	3.618	2.377	0.604	0.004	0.281	0.135	0.004	0.004
LRcc	7.268*	4.015	0.797	0.103	4.015	0.276	0.344	0.344	4.015	2.698	0.797	0.103	0.344	0.276	0.103	0.103
DQ	3.084	6.598	1.315	0.615	6.559	0.619	0.709	0.708	6.595	4.261	1.323	0.403	7.702	0.681	0.276	0.452
Peru
Mean	−2.617	−2.698	−2.963	−3.102	−2.571	−2.639	−2.903	−3.022	−2.672	−2.736	−3.009	−3.143	−4.185	−3.140	−3.176	−3.117
SD	1.485	1.537	1.511	1.576	1.297	1.341	1.309	1.363	1.664	1.704	1.705	1.777	1.982	1.953	2.227	2.022
LRuc	14.807*	12.563*	2.377	2.377	14.807*	12.563*	6.694*	3.618	17.181*	14.807*	5.063*	5.063*	0.604	0.604	2.377	0.604
LRcc	17.670*	13.136*	4.555	4.555	15.231*	13.136*	7.891*	5.419	17.481*	15.231*	6.539*	6.539*	3.745	0.797	2.698	0.797
DQ	52.154*	37.329*	27.632*	27.716*	39.923*	34.889*	25.675*	25.200*	44.316*	38.945*	26.459*	26.508*	40.163*	13.300*	6.595	1.315
MILA
Mean	−3.565	−3.617	−3.860	−3.889	−3.393	−3.379	−3.653	−3.628	−3.687	−3.727	−3.986	−3.973	−7.092	−3.947	−3.745	−3.922
SD	2.381	2.407	2.415	2.423	1.896	1.845	1.888	1.861	2.740	2.750	2.913	2.880	4.292	2.779	3.029	2.835
LRuc	17.181*	17.181*	8.496*	8.496*	10.456*	14.807*	6.694*	6.694*	14.807*	17.181*	6.694*	6.694*	3.618	1.363	3.618	8.496*
LRcc	18.344*	18.344*	9.171*	9.171*	11.240*	15.836*	7.268*	7.268*	15.836*	18.344*	7.268*	7.268*	10.044*	1.616	4.015	9.452*
DQ	46.219*	46.333*	21.726*	21.714*	24.100*	30.350*	20.756*	20.769*	30.360*	34.388*	20.416*	20.426*	147.903*	4.781*	12.794*	19.729*
Accuracy	0%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	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	−4.068	−4.172	−4.598	−4.663	−3.823	−3.869	−4.285	−4.318	−4.111	−4.192	−4.619	−4.660	−8.740	−4.603	−4.562	−4.700
SD	3.350	3.405	3.662	3.700	2.514	2.434	2.728	2.733	3.619	3.653	3.916	3.932	5.142	3.252	3.503	3.865
LRuc	10.456*	8.496*	6.694*	3.618	12.563*	14.807*	3.618	3.618	12.563*	8.496*	3.618	3.618	2.377	0.604	1.363	2.377
LRcc	18.688*	17.649*	11.654*	10.044*	19.960*	21.445*	5.419	5.419	19.960*	17.649*	5.419	5.419	9.690*	3.745	1.616	4.555
DQ	76.277*	79.012*	40.150*	43.356*	78.046*	88.613*	20.799*	20.799*	73.887*	78.733*	14.357*	14.357*	162.539*	14.508*	3.366	2.844
Chile
Mean	−4.232	−4.294	−4.510	−4.536	−4.149	−4.232	−4.314	−4.308	−4.338	−4.482	−4.669	−4.687	−6.916	−4.729	−4.478	−4.684
SD	2.433	2.472	2.206	2.229	1.935	1.981	1.671	1.680	2.601	2.693	2.688	2.707	3.432	2.822	2.630	3.131
LRuc	25.006*	22.286*	17.181*	17.181*	19.676*	17.181*	10.456*	12.563*	17.181*	10.456*	6.694*	6.694*	2.377	10.456*	6.694*	10.456*
LRcc	26.500*	24.069*	19.645*	19.645*	21.781*	17.481*	11.240*	13.465*	17.481*	11.205*	7.891*	7.891*	2.698	11.240*	7.268*	11.240*
DQ	70.104*	67.378*	70.665*	70.726*	68.995*	56.961*	41.519*	41.932*	57.925*	30.356*	27.523*	27.592*	59.005*	27.449*	15.835*	46.132*
Mexico
Mean	−3.757	−3.922	−4.018	−4.151	−3.745	−3.928	−3.997	−4.169	−3.762	−3.932	−4.013	−4.151	−5.068	−5.145	−5.130	−4.926
SD	1.851	1.924	1.836	1.901	1.745	1.818	1.829	1.914	2.031	2.117	2.148	2.226	1.966	3.565	3.243	2.972
LRuc	6.694*	3.618	0.604	0.004	3.618	0.135	0.281	0.281	3.618	2.377	0.604	0.004	0.281	0.135	0.004	0.004
LRcc	7.268*	4.015	0.797	0.103	4.015	0.276	0.344	0.344	4.015	2.698	0.797	0.103	0.344	0.276	0.103	0.103
DQ	3.084	6.598	1.315	0.615	6.559	0.619	0.709	0.708	6.595	4.261	1.323	0.403	7.702	0.681	0.276	0.452
Peru
Mean	−2.617	−2.698	−2.963	−3.102	−2.571	−2.639	−2.903	−3.022	−2.672	−2.736	−3.009	−3.143	−4.185	−3.140	−3.176	−3.117
SD	1.485	1.537	1.511	1.576	1.297	1.341	1.309	1.363	1.664	1.704	1.705	1.777	1.982	1.953	2.227	2.022
LRuc	14.807*	12.563*	2.377	2.377	14.807*	12.563*	6.694*	3.618	17.181*	14.807*	5.063*	5.063*	0.604	0.604	2.377	0.604
LRcc	17.670*	13.136*	4.555	4.555	15.231*	13.136*	7.891*	5.419	17.481*	15.231*	6.539*	6.539*	3.745	0.797	2.698	0.797
DQ	52.154*	37.329*	27.632*	27.716*	39.923*	34.889*	25.675*	25.200*	44.316*	38.945*	26.459*	26.508*	40.163*	13.300*	6.595	1.315
MILA
Mean	−3.565	−3.617	−3.860	−3.889	−3.393	−3.379	−3.653	−3.628	−3.687	−3.727	−3.986	−3.973	−7.092	−3.947	−3.745	−3.922
SD	2.381	2.407	2.415	2.423	1.896	1.845	1.888	1.861	2.740	2.750	2.913	2.880	4.292	2.779	3.029	2.835
LRuc	17.181*	17.181*	8.496*	8.496*	10.456*	14.807*	6.694*	6.694*	14.807*	17.181*	6.694*	6.694*	3.618	1.363	3.618	8.496*
LRcc	18.344*	18.344*	9.171*	9.171*	11.240*	15.836*	7.268*	7.268*	15.836*	18.344*	7.268*	7.268*	10.044*	1.616	4.015	9.452*
DQ	46.219*	46.333*	21.726*	21.714*	24.100*	30.350*	20.756*	20.769*	30.360*	34.388*	20.416*	20.426*	147.903*	4.781*	12.794*	19.729*
Accuracy	0%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	20%	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	−3.133	−3.226	−3.461	−3.517	−3.056	−3.145	−3.313	−3.385	−3.207	−3.294	−3.545	−3.615	−6.500	−3.866	−3.912	−3.956
SD	1.729	1.775	1.838	1.897	1.319	1.356	1.300	1.364	1.959	2.009	2.093	2.179	3.852	2.877	2.616	2.746
LRuc	12.563*	10.456*	10.456*	10.456*	14.807*	10.456*	6.694*	6.694*	12.563*	10.456*	10.456*	5.063*	5.063*	2.377	2.377	1.363
LRcc	13.465*	11.240*	11.240*	11.240*	15.836*	11.240*	7.268*	7.268*	13.465*	11.240*	11.240*	5.544	5.544	2.698	2.698	1.616
DQ	42.191*	41.336*	61.771*	61.854*	84.682*	61.733*	66.973*	67.050*	28.565*	25.980*	26.115*	20.929*	122.011*	21.447*	21.174*	23.944*
Singapore
Mean	−2.358	−2.448	−2.671	−2.677	−2.290	−2.370	−2.591	−2.602	−2.399	−2.476	−2.698	−2.701	−4.022	−2.658	−2.421	−2.588
SD	1.400	1.459	1.614	1.622	1.102	1.155	1.358	1.370	1.447	1.497	1.675	1.684	2.019	1.273	1.291	1.406
LRuc	3.618	2.377	0.004	0.004	2.377	1.363	0.604	0.604	0.604	0.135	0.004	0.004	0.604	0.004	1.363	0.004
LRcc	4.015	2.698	0.103	0.103	2.698	1.616	0.797	0.797	0.797	0.276	0.103	0.103	0.797	0.103	1.616	0.103
DQ	3.366	2.844	2.198	2.198	0.283	26.421*	0.327	2.198	3.366	2.844	0.293	0.296	29.594*	0.283	2.562	0.327
Indonesia
Mean	−2.980	−3.151	−3.543	−3.725	−2.934	−3.076	−3.412	−3.627	−3.076	−3.232	−3.552	−3.774	−5.040	−3.736	−3.534	−3.649
SD	1.681	1.777	2.139	2.256	1.535	1.599	1.928	2.064	1.869	1.958	2.269	2.432	2.171	1.653	1.690	1.743
LRuc	14.807*	12.563*	10.456*	6.694*	12.563*	8.496*	8.496*	3.618	10.456*	10.456*	5.063*	5.063*	0.281	0.604	2.377	0.135
LRcc	15.231*	13.136*	11.240*	7.268*	13.465*	9.171*	9.171*	4.015	11.240*	11.240*	5.544	5.544	0.344	0.797	2.698	0.276
DQ	58.115*	60.626*	46.262*	45.691*	46.013*	24.964*	24.506*	10.638*	44.894*	44.671*	13.886*	13.782*	5.062	1.716	4.852	0.600
Thailand
Mean	−2.819	−2.890	−3.257	−3.389	−2.569	−2.613	−2.948	−3.045	−2.786	−2.853	−3.183	−3.316	−6.108	−4.262	−3.528	−3.906
SD	1.952	1.979	2.140	2.243	1.325	1.321	1.549	1.593	2.075	2.101	2.379	2.478	3.388	3.443	3.047	3.267
LRuc	17.181*	12.563*	1.363	1.363	10.456*	10.456*	2.377	1.363	12.563*	12.563*	1.363	0.604	0.135	1.363	2.377	0.604
LRcc	18.344*	13.465*	1.616	1.616	11.240	11.240	2.698	1.616	13.465*	13.465*	1.616	0.797	0.276	1.616	2.698	0.797
DQ	63.255*	45.981*	22.932*	22.933*	47.361*	47.418*	27.219*	30.283*	27.110*	27.159*	23.270*	26.520*	18.821*	22.919*	21.004*	13.898*
Malaysia
Mean	−2.241	−2.317	−2.502	−2.541	−2.173	−2.230	−2.451	−2.475	−2.232	−2.303	−2.504	−2.540	−3.322	−2.762	−2.477	−2.684
SD	1.179	1.219	1.318	1.347	0.994	1.009	1.149	1.164	1.168	1.197	1.329	1.354	1.355	1.560	1.085	1.457
LRuc	8.496*	8.496*	2.377	1.363	6.694*	5.063*	5.063*	5.063*	8.496*	5.063*	3.618	2.377	0.604	1.363	1.363	0.604
LRcc	9.452*	9.452*	2.698	1.616	7.891*	6.539*	6.539*	6.539*	9.452*	5.544	4.015	2.698	0.797	1.616	1.616	0.797
DQ	29.430*	29.540*	13.017*	14.026*	27.471*	26.474*	26.367*	26.399*	28.714*	14.714*	13.072*	12.875*	17.292*	13.618*	3.346	4.585
Accuracy	20%	20%	20%	20%	20%	0%	20%	20%	20%	20%	20%	20%	20%	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	−3.133	−3.226	−3.461	−3.517	−3.056	−3.145	−3.313	−3.385	−3.207	−3.294	−3.545	−3.615	−6.500	−3.866	−3.912	−3.956
SD	1.729	1.775	1.838	1.897	1.319	1.356	1.300	1.364	1.959	2.009	2.093	2.179	3.852	2.877	2.616	2.746
LRuc	12.563*	10.456*	10.456*	10.456*	14.807*	10.456*	6.694*	6.694*	12.563*	10.456*	10.456*	5.063*	5.063*	2.377	2.377	1.363
LRcc	13.465*	11.240*	11.240*	11.240*	15.836*	11.240*	7.268*	7.268*	13.465*	11.240*	11.240*	5.544	5.544	2.698	2.698	1.616
DQ	42.191*	41.336*	61.771*	61.854*	84.682*	61.733*	66.973*	67.050*	28.565*	25.980*	26.115*	20.929*	122.011*	21.447*	21.174*	23.944*
Singapore
Mean	−2.358	−2.448	−2.671	−2.677	−2.290	−2.370	−2.591	−2.602	−2.399	−2.476	−2.698	−2.701	−4.022	−2.658	−2.421	−2.588
SD	1.400	1.459	1.614	1.622	1.102	1.155	1.358	1.370	1.447	1.497	1.675	1.684	2.019	1.273	1.291	1.406
LRuc	3.618	2.377	0.004	0.004	2.377	1.363	0.604	0.604	0.604	0.135	0.004	0.004	0.604	0.004	1.363	0.004
LRcc	4.015	2.698	0.103	0.103	2.698	1.616	0.797	0.797	0.797	0.276	0.103	0.103	0.797	0.103	1.616	0.103
DQ	3.366	2.844	2.198	2.198	0.283	26.421*	0.327	2.198	3.366	2.844	0.293	0.296	29.594*	0.283	2.562	0.327
Indonesia
Mean	−2.980	−3.151	−3.543	−3.725	−2.934	−3.076	−3.412	−3.627	−3.076	−3.232	−3.552	−3.774	−5.040	−3.736	−3.534	−3.649
SD	1.681	1.777	2.139	2.256	1.535	1.599	1.928	2.064	1.869	1.958	2.269	2.432	2.171	1.653	1.690	1.743
LRuc	14.807*	12.563*	10.456*	6.694*	12.563*	8.496*	8.496*	3.618	10.456*	10.456*	5.063*	5.063*	0.281	0.604	2.377	0.135
LRcc	15.231*	13.136*	11.240*	7.268*	13.465*	9.171*	9.171*	4.015	11.240*	11.240*	5.544	5.544	0.344	0.797	2.698	0.276
DQ	58.115*	60.626*	46.262*	45.691*	46.013*	24.964*	24.506*	10.638*	44.894*	44.671*	13.886*	13.782*	5.062	1.716	4.852	0.600
Thailand
Mean	−2.819	−2.890	−3.257	−3.389	−2.569	−2.613	−2.948	−3.045	−2.786	−2.853	−3.183	−3.316	−6.108	−4.262	−3.528	−3.906
SD	1.952	1.979	2.140	2.243	1.325	1.321	1.549	1.593	2.075	2.101	2.379	2.478	3.388	3.443	3.047	3.267
LRuc	17.181*	12.563*	1.363	1.363	10.456*	10.456*	2.377	1.363	12.563*	12.563*	1.363	0.604	0.135	1.363	2.377	0.604
LRcc	18.344*	13.465*	1.616	1.616	11.240	11.240	2.698	1.616	13.465*	13.465*	1.616	0.797	0.276	1.616	2.698	0.797
DQ	63.255*	45.981*	22.932*	22.933*	47.361*	47.418*	27.219*	30.283*	27.110*	27.159*	23.270*	26.520*	18.821*	22.919*	21.004*	13.898*
Malaysia
Mean	−2.241	−2.317	−2.502	−2.541	−2.173	−2.230	−2.451	−2.475	−2.232	−2.303	−2.504	−2.540	−3.322	−2.762	−2.477	−2.684
SD	1.179	1.219	1.318	1.347	0.994	1.009	1.149	1.164	1.168	1.197	1.329	1.354	1.355	1.560	1.085	1.457
LRuc	8.496*	8.496*	2.377	1.363	6.694*	5.063*	5.063*	5.063*	8.496*	5.063*	3.618	2.377	0.604	1.363	1.363	0.604
LRcc	9.452*	9.452*	2.698	1.616	7.891*	6.539*	6.539*	6.539*	9.452*	5.544	4.015	2.698	0.797	1.616	1.616	0.797
DQ	29.430*	29.540*	13.017*	14.026*	27.471*	26.474*	26.367*	26.399*	28.714*	14.714*	13.072*	12.875*	17.292*	13.618*	3.346	4.585
Accuracy	20%	20%	20%	20%	20%	0%	20%	20%	20%	20%	20%	20%	20%	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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