.

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.cc Statistic:

2.773

6.989

2.773

6.989

2.773

LR.cc Critical:

9.21

9.21

9.21

9.21

9.21

LR.cc p-value:

0.25

0.03

0.25

0.03

0.25

Reject Null:

NO

NO

NO

NO

NO