| 1% VaR | Symmetric Absolute Value | Asymmetric slope | Indirect GARCH | Improved Asymmetric | ||||||||
|
| FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P5000 | NIKKEI |
| Beta 1 | 0.0771 | 0.2116 | 0.0417 | 0.0571 | 0.1142 | 0.1190 | 0.1271 | 0.5825 | 0.0781 | 0.8313 | 0.0029 | 0.8032 |
| Standard Errors | 0.0317 | 0.1274 | 0.0225 | 0.0192 | 0.0546 | 0.0344 | 0,0923 | 0.4197 | 0.0362 | 0.1505 | 0.1102 | 0.1937 |
| p values | 0.0074 | 0.0484 | 0.0323 | 0.0015 | 0.0183 | 0.0002 | 0.0844 | 0.0825 | 0.0154 | 0.0000 | 0.4942 | 0.0006 |
| Beta 2 | 0.8774 | 0.8467 | 0.9419 | 0.9162 | 0.8923 | 0.9148 | 0.8728 | 0.8662 | 0.9424 | 0 | 0 | 0 |
| Standard Errors | 0.0296 | 0.0543 | 0.0202 | 0.0269 | 0.0305 | 0.0353 | 0.0149 | 0.0431 | 0.0681 | 0 | 0 | 0 |
| p values | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0 | 0 | 0 |
| Beta 3 | 0.2995 | 0.2979 | 0.1357 | 0.0735 | 0.1649 | −0.0829 | 0.6919 | 0.5298 | 0.2738 | 0 | 0 | 0 |
| Standard Errors | 0.1027 | 0.0877 | 0.0500 | 0.1195 | 0.0509 | 0.0522 | 1.4580 | 0.1836 | 0.3740 | 0 | 0 | 0 |
| p values | 0.0017 | 0.0004 | 0.0033 | 0.2691 | 0.0006 | 0.0563 | 0.3175 | 0.0019 | 0.2320 | 0 | 0 | 0 |
| Beta 4 | 0 | 0 | 0 | 0.3049 | 0.3321 | 0.3333 | 0 | 0 | 0 | 0 | 0 | 0 |
| Standard Errors | 0 | 0 | 0 | 0.0601 | 0.0889 | 0.1949 | 0 | 0 | 0 | 0 | 0 | 0 |
| p values | 0 | 0 | 0 | 0.0000 | 0.0436 | 0.0000 | 0 | 0 | 0 | 0 | 0 | 0 |
| RQ | 84.68 | 119.32 | 97.44 | 82.53 | 116.98 | 94.39 | 84.82 | 119.10 | 97.06 | 92.19 | 134.12 | 100.70 |
| Hits in-sample(%) | 0.9502 | 0.9502 | 0.9503 | 1.0305 | 1.0305 | 1.0305 | 1.0305 | 0.9509 | 0.9502 | 0.9503 | 0.7871 | 0.9594 |
| Hits out-of-sample(%) | 1.4000 | 1.0000 | 1.2000 | 1.4000 | 1.0000 | 0.8000 | 1.6000 | 1.0000 | 1.2000 | 1.0000 | 0.9000 | 1.2000 |
| DQ in-sample (p values) | 0.9256 | 0.2271 | 0.5227 | 0.8979 | 0.9173 | 0.0398 | 0.9073 | 0.6495 | 0.6423 | 0.3766 | 0.5360 | 0.6310 |
| DQ out-of-sample (p values) | 0.4816 | 0.5094 | 0.9955 | 0.2668 | 0.4067 | 0.9853 | 0.7568 | 0.4826 | 0.1535 | 0.9652 | 0.8716 | 0.8726 |
| 5%VaR | Symmetric Absolute Value | Asymmetric slope | Indirect GARCH | Improved Asymmetric | ||||||||
|
| FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P500 | NIKKEI | FTSE100 | S & P500 | NIKKEI |
| Beta 1 | 0.0083 | 0.0399 | 0.0108 | 0.0245 | 0.0417 | 0.0303 | 0.0183 | 0.1439 | 0.0102 | 0.0655 | 0.2736 | 0.3166 |
| Standard Errors | 0.0142 | 0.0312 | 0.0076 | 0.0092 | 0.0025 | 0.0074 | 0.0176 | 0.0896 | 0.0080 | 0.0501 | 0.0564 | 0.0433 |
| p values | 0.2770 | 0.1005 | 0.0783 | 0.0004 | 0.0500 | 0.0000 | 0.1483 | 0.0054 | 0.1011 | 0.0000 | 0.0000 | 0.0000 |
| Beta 2 | 0.9157 | 0.9278 | 0.0965 | 0.9211 | 0.9351 | 0.9593 | 0.9023 | 0.8972 | 0.9504 | 0 | 0 | 0 |
| Standard Errors | 0.0200 | 0.0205 | 0.0082 | 0.0141 | 0.0267 | 0.0094 | 0.0110 | 0.0164 | 0.0039 | 0 | 0 | 0 |
| p values | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0 | 0 | 0 |
| Beta 3 | 0.1753 | 0.1225 | 0.0596 | 0.0319 | 0.0438 | −0.1942 | 0.2719 | 0.2316 | 0.0755 | 0 | 0 | 0 |
| Standard Errors | 0.0282 | 0.0382 | 0.0109 | 0.0337 | 0.0485 | 0.0185 | 0.1314 | 0.2068 | 0.1467 | 0 | 0 | 0 |
| p values | 0.0000 | 0.0000 | 0.0000 | 0.1719 | 0.1832 | 0.1473 | 0.1926 | 0.1313 | 0.3032 | 0 | 0 | 0 |
| Beta 4 | 0 | 0 | 0 | 0.2616 | 0.1651 | 0.1193 | 0 | 0 | 0 | 0 | 0 | 0 |
| Standard Errors | 0 | 0 | 0 | 0.0364 | 0.0736 | 0.0209 | 0 | 0 | 0 | 0 | 0 | 0 |
| p values | 0 | 0 | 0 | 0.0000 | 0.0124 | 0.0000 | 0 | 0 | 0 | 0 | 0 | 0 |
| RQ | 314.29 | 427.85 | 325.08 | 308.06 | 424.61 | 316.97 | 312.69 | 427.65 | 326.09 | 317.00 | 434.12 | 322.50 |
| Hits in-sample (%) | 5.0103 | 5.0105 | 4.9751 | 5.0103 | 4.9751 | 5.0102 | 5.0102 | 5.0102 | 5.0106 | 4.7619 | 5.0023 | 4.9951 |
| Hits out-of-sample (%) | 5.2000 | 5.0000 | 5.4000 | 5.6000 | 5.2000 | 4.0000 | 5.2000 | 4.6000 | 5.0000 | 5.2000 | 5.0000 | 5.2000 |
| DQ in-sample (p values) | 0.0563 | 0.6356 | 0.0004 | 0.8472 | 0.7184 | 0.0085 | 0.2569 | 0.8704 | 0.0089 | 0.1741 | 0.0096 | 0.0031 |
| DQ out-of-sample (p values) | 0.7984 | 0.0052 | 0.0523 | 0.9607 | 0.0550 | 0.0217 | 0.7945 | 0.0079 | 0.6462 | 0.5476 | 0.0039 | 0.7869 |