Table 7 VaR violation of the actual Total Nigeria Plc returns
Model | VaR alpha | No. of Violation | Ratio | Percentage |
|---|---|---|---|---|
eGARCH(1,1) with normal | 1% | 86 | 86/4015 | 2.1% |
5% | 216 | 216/4015 | 5.4% | |
10% | 340 | 340/4015 | 8.5% | |
NGARCH(1,1) with std | 1% | 85 | 85/4015 | 2.1% |
5% | 206 | 206/4015 | 5.1% | |
10% | 320 | 320/4015 | 8.0% |