Table 8 VaR violation of cleansed Total Nigeria Plc returns
Model | VaR alpha | No. of Violation | Ratio | Percentage |
|---|---|---|---|---|
sGARCH(1,1) with normal | 1% | 88 | 88/4015 | 2.2% |
5% | 203 | 203/4015 | 5.1% | |
10% | 319 | 319/4015 | 7.9% | |
NGARCH(1,1) with std | 1% | 960 | 960/4015 | 23.9% |
5% | 971 | 971/4015 | 24.2% | |
10% | 974 | 974/4015 | 24.3% |