Price Risk Measurement of China’s Soybean Futures Market Based on the VAR-GJR-GARCH Model

Table 10

Failure rate test of the two models at different confidence levels.

Degree of confidence (%)	Failure day interval	Model	Actual failure days	Failure rate	Whether it passes the test
99		VAR-GARCH	17	0.013945857	Yes
		VAR-GJR-GARCH	14	0.011484824	Yes
95		VAR-GARCH	52	0.042657916	Yes
		VAR-GJR-GARCH	55	0.04511895	Yes
90		VAR-GARCH	100	0.082034454	Yes
		VAR-GJR-GARCH	100	0.082034454	Yes