Portfolio containing Bitcoin and Gold

Trading days: 1245

$\alpha =0.05$

$\alpha =0.01$

Expected No. of violations

62

12

Non-rejection regions

$48\le y\le 75$

$7\le y\le 22$

Historical simulation

60*

6

Variance-covariance

43

15*

EWMA

53*

24

GARCH-t

44

7*

tvNormal-copula-GARCH-t

21

2

Portfolio containing Bitcoin and Ethereum

Trading days: 337

$\alpha =0.05$

$\alpha =0.01$

Expected No. of violations

17

3

Non-rejection regions

$10\le y\le 25$

$1\le y\le 9$

Historical simulation

24*

7*

Variance-covariance

25*

12

EWMA

39

19

GARCH-t

28

7*

t-copula-GARCH-t

16*

3*