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Table 8 VaR statistics

From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios

 

Failure

Kupiec Test

Christoffersen Test

 

90%

95%

90%

95%

90%

95%

ST Bond Portfolios

 Homogen Portfolio

6/5

4/2

0.131 (0.717)

0.686 (0.407)

1.736 (0.42)

1.368 (0.505)

 GDP Weighted Portfolio

6/5

4/2

0.131 (0.717)

0.686 (0.407)

1.736 (0.42)

1.368 (0.505)

 MCAP Weighted Portfolio

6/5

3/2

0.131 (0.717)

0.062 (0.804)

1.736 (0.42)

0.437 (0.804)

 MV-Optimal Portfolios

6/5

4/2

0.131 (0.717)

0.686 (0.407)

1.453 (0.48)

1.368 (0.505)

LT Bond Portfolios

  

 Homogen Portfolio

6/5

4/2

0.131 (0.717)

0.686 (0.407)

1.736 (0.42)

1.368 (0.505)

 GDP Weighted Portfolio

7/5

2/2

0.632 (0.427)

2.868 (0.238)

0.158 (0.691)

0.321 (0.852)

 MCAP Weighted Portfolio

6/5

2/2

0.131 (0.717)

0.158 (0.691)

1.736 (0.42)

0.321 (0.852)

 MV-Optimal Portfolios

6/5

2/2

0.131 (0.717)

0.158 (0.691)

1.736 (0.42)

0.321 (0.852)

  1. Numbers in the parantheses are p- values. All results are statistically significant; star signs are not added