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