On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

Financial Innovation

Table 11 VaRTest for Total Nigeria Plc daily stock returns

	H₀: Correct Exceedances							H₀: Correct Exceedances & Independent
Model	Alpha	expected.Exceed	actual.Exceed	uc.LRstat	uc.critical	uc.LRp	Decision	cc.LRstat	cc.critical	cc.LRp	decision
eGARCH norm	1%	40	86	39.8476	6.634897	2.745711e-10	Reject	43.61369	9.21034	3.383828e-10	Reject
	5%	200	216	NaN	3.841459	NaN	NA	NaN	5.991465	NaN	NA
	10%	401	340	NaN	2.705543	NaN	NA	NaN	4.60517	NaN	NA
NGARCH	1%	40	85	38.31288	6.6348973.	6.026372e-10	Reject	41.99094	9.21034	7.616976e-10	Reject
with std	5%	200	206	NaN	83.841459	NaN	NA	NaN	5.991465	NaN	NA
with std	10%	401	320	NaN	2.705543	NaN	NA	NaN	4.60517	NaN	NA

Note: uc.LRstat: the unconditional coverage test likelihood-ratio statistic; uc.critical: the unconditional coverage test critical value; uc.LRp: the unconditional coverage test p-value; cc.LRstat: the conditional coverage test likelihood-ratio statistic; cc.critical: the conditional coverage test critical value; cc.LRp: the conditional coverage test p-value; NA not available