. | GARCH | EGARCH | IGARCH | TGARCH | GJR GARCH |
alpha | 1% | 1% | 1% | 1% | 1% |
Backtest Length | 224 | 224 | 224 | 224 | 224 |
Expected Exceed | 2.2 | 2.2 | 2.2 | 2.2 | 2.2 |
Actual VaR Exceed | 4 | 5 | 3 | 5 | 4 |
Actual % | 1.8 % | 2.2% | 1.3% | 2.2% | 1.8% |
Null-Hypothesis: | . | . | . | . | . |
LR.uc Statistic: | 1.133 | 2.544 | 0.235 | 2.544 | 1.133 |
LR.uc Critical: | 6.635 | 6.635 | 6.635 | 6.635 | 6.635 |
LR.uc p-value: | 0.287 | 0.111 | 0.628 | 0.111 | 0.287 |
Reject Null: | NO | NO | NO | NO | NO |