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 | Â | Â | ||||
 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) |