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 & P500

NIKKEI

Beta 1

0.2868

0.7739

0.1298

0.3517

0.6669

0.1312

0.2294

0.2393

0.4768

0.8891

0.8624

−0.4942

Standard Errors

0.3114

0.3811

0.0922

0.3444

0.3788

0.09592

0.6142

1.5304.

0.3544

0.1665

0.5814

0.0889

p values

0.1785

0.0211

0.0795

0.1535

0.0391

0.0855

0.3543

0.0588

0.0892

0.0000

0.0000

0.0000

Beta 2

0.8244

0.7134

0.9147

0.8751

0.7470

0.9134

0.9229

0.7833

0.9192

0

0

0

Standard Errors

0.1594

0.1088

0.0346

0.1192

0.1197

0.0408

0.0386

0.0456

0.0191

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

0.4664

0.6023

0.1950

−0.0553

0.3265

0.2025

0.5525

0.9251

0.3574

0

0

0

Standard Errors

0.4665

0.2439

0.0621

0.1509

0.3387

0.1795

1.5523

2.4195

3.0159

0

0

0

p values

0.1583

0.0067

0.0008

0.3570

0.1674

0.1295

0.3609

0.3511

0.4582

0

0

0

Beta 4

0

0

0

0.3918

0.7023

0.1939

0

0

0

0

0

0

Standard Errors

0

0

0

0.2489

0.2802

0.0649

0

0

0

0

0

0

p values

0

0

0

0.0577

0.0061

0.0014

0

0

0

0

0

0

RQ

25.33

27.88

25.42

23.41

26.25

25.42

25.46

27.14

25.33

31.67

42.85

35.71

Hits in-sample (%)

0.9732

0.9732

0.9732

0.9732

1.2165.

0.9732

0.9732

0.7299

0.7299

0.7299

0.7299

0.8661

Hits out-of-sample (%)

0.0000

0.0000

1.2000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

DQ in-sample (p values)

0.9972

0.0004

0.9972

0.9966

0.9910

0.9974

0.9980

0.9972

0.9982

0.3550

0.9554

0.9999

DQ out-of-sample (p values)

0.0000

0.0000

0.0000

1.0000

1.0000

1.0000

0.0000

0.0000

0.0000

0.9601

0.9073

0.7836

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

0.1237

0.1161

0.2030

0.0751

0.0597

0.1155

0.3908

0.3288

0.6780

0.7424

0.1201

0.9932

Standard Errors

0.0990

0.1005

0.1660

0.0864

0.0433

0.0851

0.2890

0.5494

0.4233

0.2206

0.1360

0.1719

p values

0.1057

0.1240

0.1107

0.1925

0.0840

0.0874

0.0881

0.2747

0.0546

0.0000

0.0000

0.0000

Beta 2

0.8807

0.8537

0.8705

0.9218

0.9401

0.9276

0.8785

0.8471

0.8451

0

0

0

Standard Errors

0.0624

0.0929

0.0911

0.0664

0.0325

0.0472

0.0382

0.0266

0.0556

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

0.1928

0.2957

0.1840

0.0205

−0.0852

−0.0172

0.2485

0.5331

0.3501

0

0

0

Standard Errors

0.0934

0.2615

0.1284

0.1709

0.0716

0.0964

0.4282

1.8901

1.0478

0

0

0

p values

0.0195

0.1290

0.0758

0.4522

0.1169

0.4289

0.2808

0.3889

0.3691

0

0

0

Beta 4

0

0

0

0.2318

0.2698

0.1878

0

0

0

0

0

0

Standard Errors

0

0

0

0.1075

0.1063

0.0730

0

0

0

0

0

0

p values

0

0

0

0.0155

0.0056

0.0051

0

0

0

0

0

0

RQ

88.71

109.58

97.62

87.66

104.28

95.88

88.52

104.97

96.27

91.53

108.34

95.39

Hits in-sample (%)

4.6228

5.1094

4.8661

4.6228

4.3795

5.1094

4.8661

5.1094

5.3527

5.1094

5.3525

5.1094

Hits out-of-sample (%)

3.0000

2.0000

3.0000

4.0000

7.0000

4.0000

3.0000

3.0000

3.0000

2.0000

3.0000

3.0000

DQ in-sample (p values)

0.5261

0.0786

0.3170

0.6396

0.6416

0.2993

0.3909

0.0936

0.8336

0.6592

0.0923

0.5858

DQ out-of-sample (p values)

0.8829

0.8388

0.9855

0.9798

0.1688

0.9907

0.9599

0.7738

0.9842

0.9336

0.7797

0.9630