Country
RiskMetrics
EGARCH
EGARCH-V
EGARCH-LV
UC
CC
UC
CC
UC
CC
UC
CC
France
6.00%
0.191
0.048
5.06%
0.931
0.853
4.82%
0.818
0.755
4.94%
0.943
0.815
Germany
6.89%
0.017
0.019
5.34%
0.644
0.545
5.23%
0.759
0.532
5.70%
0.357
0.489
Japan
6.34%
0.088
0.216
5.85%
0.271
0.541
5.12%
0.867
0.980
5.61%
0.427
0.673
Netherlands
6.35%
0.080
0.040
6.12%
0.146
0.046
6.47%
0.058
0.074
5.65%
0.392
0.123
Spain
6.12%
0.146
0.208
4.94%
0.943
0.996
5.18%
0.808
0.591
5.29%
0.691
0.891
Switzerland
6.39%
0.077
0.037
5.66%
0.386
0.493
5.30%
0.687
0.897
5.42%
0.577
0.532
UK
7.25%
0.005
0.005
5.11%
0.875
0.504
5.47%
0.533
0.875
4.99%
1.000
0.826
USA
6.34%
0.086
0.153
5.14%
0.843
0.222
4.07%
0.204
0.070
4.43%
0.442
0.449
China
5.91%
0.243
0.397
5.05%
0.942
0.181
4.80%
0.802
0.034
4.80%
0.802
0.034
Colombia
5.60%
0.441
0.008
4.35%
0.394
0.144
4.60%
0.605
0.245
4.35%
0.394
0.009
Hong Kong
6.21%
0.163
0.129
5.36%
0.750
0.083
4.38%
0.325
0.123
5.60%
0.528
0.156
India
5.68%
0.373
0.316
4.23%
0.302
0.125
3.51%
0.038
0.041
4.23%
0.302
0.125
Mexico
6.56%
0.046
0.013
4.89%
0.892
0.991
4.42%
0.433
0.185
5.13%
0.856
0.853
South Korea
7.04%
0.016
0.009
4.25%
0.239
0.245
3.64%
0.041
0.123
4.49%
0.400
0.606
Taiwan
6.07%
0.222
0.396
3.76%
0.061
0.129
3.52%
0.026
0.054
3.88%
0.090
0.187
Turkey
5.98%
0.203
0.361
5.50%
0.506
0.750
5.62%
0.413
0.343
5.62%
0.413
0.650
France
2.12%
0.004
0.012
1.41%
0.254
0.440
1.06%
0.862
0.894
1.18%
0.612
0.781
Germany
2.73%
0.000
0.000
0.83%
0.615
0.831
0.71%
0.379
0.650
0.83%
0.615
0.831
Japan
2.93%
0.000
0.000
1.95%
0.015
0.038
1.46%
0.211
0.382
1.83%
0.032
0.076
Netherlands
2.82%
0.000
0.000
1.76%
0.043
0.098
1.76%
0.043
0.098
1.18%
0.612
0.781
Spain
2.00%
0.010
0.023
1.76%
0.043
0.098
1.53%
0.149
0.288
1.41%
0.254
0.440
Switzerland
3.01%
0.000
0.000
1.93%
0.017
0.042
1.45%
0.225
0.401
1.57%
0.129
0.257
UK
3.09%
0.000
0.000
1.31%
0.389
0.597
1.78%
0.039
0.064
1.31%
0.389
0.597
USA
2.99%
0.000
0.000
1.20%
0.578
0.759
0.84%
0.629
0.839
1.08%
0.823
0.884
China
2.59%
0.000
0.000
1.48%
0.200
0.367
1.11%
0.758
0.862
1.11%
0.758
0.862
Colombia
1.99%
0.013
0.000
1.24%
0.501
0.220
1.12%
0.736
0.853
1.24%
0.501
0.703
Hong Kong
3.05%
0.000
0.000
1.58%
0.212
0.379
1.10%
0.944
0.913
1.34%
0.350
0.557
India
2.54%
0.000
0.001
0.73%
0.406
0.678
0.97%
0.927
0.921
0.85%
0.651
0.850
Mexico
2.74%
0.000
0.000
0.84%
0.624
0.836
0.84%
0.624
0.836
0.84%
0.624
0.836
South Korea
2.79%
0.000
0.000
0.73%
0.412
0.683
0.49%
0.100
0.253
0.61%
0.222
0.461
Taiwan
2.79%
0.000
0.000
0.97%
0.935
0.174
0.85%
0.658
0.121
1.09%
0.790
0.874
Turkey
2.87%
0.000
0.000
1.79%
0.038
0.087
1.67%
0.073
0.158
1.79%
0.038
0.087