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Trading days: 651 | Expected no. of exceptions | 33 | ||
Non-rejection region |
| |||
| CDX.NA.IG S & P500 | CDX.NA.IG VIX | ||
Historical Simulation | 108 | 85 | ||
Variance-Covariance | 126 | 79 | ||
EWMA | 47 | 43* | ||
GARCH-skt | 56 | 38* | ||
tvSJC-copula?GARCH-skt | 39* | 29* | ||
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Trading days: 651 | Expected no. of exceptions | 7 | ||
Non-rejection region |
| |||
Historical Simulation | 33 | 19 | ||
Variance-Covariance | 44 | 17 | ||
EWMA | 13 | 15 | ||
GARCH-skt | 9* | 13 | ||
tvSJC-copula?GARCH-skt | 5* | 4* |