Model | alpha: | Percentage of exceedances | POF-Kupiec (Unconditional Coverage) | Joint-Christoffersen (Conditional Coverage) |
Gaussian copula | 90% | 9.50% | 0.362 | 0.580 |
| 95% | 4.40% | 0.138 | 0.313 |
| 99% | 0.90% | 0.721 |
|
Student-t copula | 90% | 9.20% | 0.186 | 0.318 |
| 95% | 4.50% | 0.271 | 0.478 |
| 99% | 0.92% | 0.721 |
|
GARCH-EVT-t copula | 90% | 9.70% | 0.768 | 0.763 |
| 95% | 4.80% | 0.474 | 0.635 |
| 99% | 0.96% | 0.865 |
|