$\alpha =0.05$

Trading days: 601

Expected no. of exceptions

30

Non-rejection region

$21\le \text{exceptions}\le 41$

CDX.NA.IG S & P500

CDX.NA.IG VIX

Historical Simulation

56

41*

Variance-Covariance

62

47

EWMA

41*

43

GARCH-skt

46

38*

tvSJC-copula?GARCH-skt

32*

24*

$\alpha =0.01$

Trading days: 601

Expected no. of exceptions

6

Non-rejection region

$2\le \text{exceptions}\le 11$

Historical Simulation

12

23

Variance-Covariance

15

19

EWMA

11*

12

GARCH-skt

9*

14

tvSJC-copula?GARCH-skt

5*

6*