$\alpha =0.05$

Trading days: 651

Expected no. of exceptions

33

Non-rejection region

$23\le \text{exceptions}\le 44$

CDX.NA.IG S & P500

CDX.NA.IG VIX

Historical Simulation

108

85

Variance-Covariance

126

79

EWMA

47

43*

GARCH-skt

56

38*

tvSJC-copula?GARCH-skt

39*

29*

$\alpha =0.01$

Trading days: 651

Expected no. of exceptions

7

Non-rejection region

$3\le \text{exceptions}\le 11$

Historical Simulation

33

19

Variance-Covariance

44

17

EWMA

13

15

GARCH-skt

9*

13

tvSJC-copula?GARCH-skt

5*

4*