.

GARCH

EGARCH

IGARCH

TGARCH

GJR GARCH

alpha

1%

1%

1%

1%

1%

Backtest Length

224

224

224

224

224

Expected Exceed

2.2

2.2

2.2

2.2

2.2

Actual VaR Exceed

5

7

5

7

5

Actual %

2.2 %

3.1%

2.2%

3.1%

2.2%

Null-Hypothesis:

.

.

.

.

.

LR.uc Statistic:

2.544

6.535

2.544

6.535

2.544

LR.uc Critical:

6.635

6.635

6.635

6.635

6.635

LR.uc p-value:

0.111

0.011

0.111

0.011

0.111

Reject Null:

NO

NO

NO

NO

NO