|
| Lagged Delta VaR | Port1 | Port2 | Port3 | Port4 | Port5 | High-Low | alpha |
| DeltaVaR < 0 | negative | 0.0169 | 0.0169 | 0.0172 | 0.0183 | 0.0141 | −0.0021 | −0.0003 |
|
|
|
|
|
|
| (−0.6027) | (−0.0759) | |
| zero | 0.0183 | 0.0205 | 0.0203 | 0.0187 | 0.0161 | −0.0037 | −0.0004 | |
|
|
|
|
|
|
| (−0.9989) | (−0.0964) | |
| positive | 0.0220 | 0.0196 | 0.0181 | 0.0218 | 0.0141 | −0.0074 | −0.0052 | |
|
|
|
|
|
|
| (−1.7451) | (−1.0109) | |
| DeltaVaR = 0 | negative | 0.0189 | 0.0161 | 0.0188 | 0.0132 | 0.0152 | −0.0021 | 0.0013 |
|
|
|
|
|
|
| (−0.4542) | (0.2505) | |
| zero | 0.0127 | 0.0131 | 0.0161 | 0.0204 | 0.0159 | 0.0040 | 0.0058 | |
|
|
|
|
|
|
| (0.8668) | (1.2021) | |
| positive | 0.0188 | 0.0225 | 0.0230 | 0.0185 | 0.0151 | −0.0059 | −0.0041 | |
|
|
|
|
|
|
| (−1.1337) | (−0.7856) | |
| DeltaVaR > 0 | negative | 0.0150 | 0.0194 | 0.0171 | 0.0189 | 0.0176 | 0.0023 | 0.0055 |
|
|
|
|
|
|
| (0.4604) | (1.0539) | |
| zero | 0.0176 | 0.0199 | 0.0189 | 0.0148 | 0.0169 | 0.0014 | 0.0037 | |
|
|
|
|
|
|
| (0.2959) | (0.7171) | |
| positive | 0.0135 | 0.0162 | 0.0076 | 0.0097 | 0.0117 | −0.0005 | 0.0029 | |
|
|
|
|
|
|
| (−0.1061) | (0.5816) |