.

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

4

5

3

5

4

Actual %

1.8 %

2.2%

1.3%

2.2%

1.8%

Null-Hypothesis:

.

.

.

.

.

LR.uc Statistic:

1.133

2.544

0.235

2.544

1.133

LR.uc Critical:

6.635

6.635

6.635

6.635

6.635

LR.uc p-value:

0.287

0.111

0.628

0.111

0.287

Reject Null:

NO

NO

NO

NO

NO