$\alpha =0.05$

Trading days: 675

Expected no. of exceptions

34

Non-rejection region

$24\le \text{exceptions}\le 46$

CDX.NA.IG S & P500

CDX.NA.IG VIX

Historical Simulation

45*

41*

Variance-Covariance

51

44*

EWMA

38*

37*

GARCH-skt

33*

39*

tvSJC-copula?GARCH-skt

29*

25*

$\alpha =0.01$

Trading days: 675

Expected no. of exceptions

7

Non-rejection region

$3\le \text{exceptions}\le 12$

Historical Simulation

21

12*

Variance-Covariance

13

12*

EWMA

12*

10*

GARCH-skt

12*

9*

tvSJC-copula?GARCH-skt

8*

4*