D lrcc t e st st at ist ics riskme t rics hist orical

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Unformatted text preview: T10 T11 π̂ L(π̂) L(p) π01 ̂ π̂11 L(π̂1) LRuc LRin d LRcc T e st St at ist ics RiskMe t rics Hist orical Simulat ion 1% 5% 1% 5% 1970 1899 1973 1905 42 113 39 107 1929 1791 1936 1809 41 108 37 96 41 108 37 96 1 5 2 11 2.09% 5.62% 1.94% 5.32% 2.37E-89 1.04E-189 2.74E-84 2.78E-182 2.52E-93 4.79E-190 2.44E-87 2.26E-182 2.08% 5.69% 1.88% 5.04% 2.38% 4.42% 5.13% 10.28% 2.39E-89 1.24E-189 5.76E-84 2.59E-181 18.301 1.550 14.044 0.420 0.017 0.343 1.486 4.464 18.319 1.893 15.530 4.884 Hypot he sis T e st ing (Chi-Square T e st ) Significance le ve l = 1 0% RiskMe t rics Hist orical Simulat ion LRuc Reject VaR model Don't Reject VaR model Reject VaR model Don't Reject VaR model LRin d Don't Reject VaR model Don't Reject VaR model Don't Reject VaR model Reject VaR model LRcc Reject VaR model Don't Reject VaR model Reject VaR model Reject VaR model 1837.36 1785.86 1875.56 1855.82 1807.13 1804 .04 1810.9 8 1828.50 184 7.37 1835.53 184 7.13 1851.16 1876 .9 4 186 9 .38 186 9 .89 189 4 .25 189 9 .71 189 0.27 1886 .80 189 9 .75 19 13.13 19 02.55 19 13.11 1879 .6 9 1886 .4 8 1883.72 186 8.29 1856 .6 6 1831.9 6 1853.6 5 1837.77 1834 .10 184 9 .15 1814 .22 1782.75 174 9 .86 174 6 .50 1736 .82 176 7.29 1753.88 1729 .07 1730.9 1 1721.09 1731.4 2 174 8.74 176 0.36 176 4 .39 1720.71 16 4 6 .4 2 16 71.18 16 28.02 16 37.6 1 16 05.4 8 16 33.81 159 4 .50 156 5.9 8 1559 .6 5 159 0.70 16 08.6 5 16 4 9 .79 16 09 .6 7 16 02.26 16 19 .54 159 9 .35 154 4 .35 154 0.17 16 07.4 6 1575.71 1588.50 16 31.6 8 16 28.23 16 52.83 16 4 7.50 16 6 4 .4 4 1729 .26 1750.9 8 1736 .02 1710.01 16 89 .23 1716 .17 1724 .38 1750.32 174 5.39 176 9 .12 1770.6 6 174 4 .54 176 9 .78 176 5.4 9 176 2.4 1 1754 .71 1754 .4 6 174 1.33 174 6 .01 174 6 .75 179 6 .72 1801.6 3 1806 .83 1836 .02 1831.20 1802.84 1808.6 4 1787.28 1773.4 5 174 6 .11 1757.09 176 3.87 1772.9 1 179 5.9 6 1777.25 1786 .9 9 1770.21 1755.4 2 1757.4 8 1737.9 4 1707.56 16 9 9 .85 16 9 1.59 16 9 7.4 1 1712.26 1731.75 1715.39 1705.9 4 1703.37 16 9 5.6 1 1716 .81 1714 .32 1731.53 1728.6 5 1707.6 8 16 6 7.9 0 16 79 .4 0 16 55.30 16 53.54 16 9 2.73 1703.31 16 84 .77 1701.57 16 9 2.27 1702.52 16 9 6 .6 7 16 6 8.9 0 16 4 1.76 16 6 8.16 16 85.6 2 16 89 .78 16 88.03 16 9 7.4 4 1704 .24 1711.17 1702.4 3 16 83.03 16 88.6 0 16 59 .58 16 59 .76 16 6 9 .21 16 70.9 6 16 6 4 .6 1 16 52.71 16 57.88 16 30.34 16 4 3.59 16 23.74 16 35.16 16 30.6 6 16 6 2.74 16 54 .72 16 29 .9 1 16 12.05 1584 .77 159 1.18 159 0.29 1588.9 3 1553.4 1 1524 .4 7 1533.9 8 14 58.9 9 14 50.54 14 27.24 1382.9 3 1356 .6 1 14 09 .50 14 21.9 1 14 15.01 14 31.29 14 6 2.6 9 14 59 .33 14 77.29 1507.03 1503.31 1506 .11 14 9 3.54 14 85.6 3 1519 .77 154 2.9 8 1534 .86 1532.52 154 3.15 1514 .50 1502.6 1 1509 .4 6 1532.55 1525.35 1525.9 6 154 6 .9 0 1553.26 1516 .39 14 9 0.4 4 14 9 0.58 1524 .9 6 1529 .35 1551.39 1573.9 3 1570.16 1574 .09 1576 .6 1 1573.82 16 03.27 16 06 .6 4 16 08.09 16 03.17 16 20.6 6 16 08.9 0 16 01.02 16 19 .78 16 29 .76 16 18.6 2 1589 .38 16 05.9 9 16 04 .9 2 159 1.4 8 16...
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