.

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.cc Statistic:

1.279

2.773

0.317

2.773

1.279

LR.cc Critical:

9.21

9.21

9.21

9.21

9.21

LR.cc p-value:

0.528

0.25

0.853

0.25

0.528

Reject Null:

NO

NO

NO

NO

NO