Research Article
Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
| Model | 95% significance level | 99% significance level | Relative VaR | Absolute VaR | Relative VaR | Absolute VaR | Failure frequency | Failure rate (%) | Failure frequency | Failure rate (%) | Failure frequency | Failure rate (%) | Failure frequency | Failure rate (%) |
| Simple VaR | 34 | 3.28 | 34 | 3.28 | 16 | 1.54 | 16 | 1.54 | RiskMetrix | 55 | 5.3 | 55 | 5.3 | 28 | 2.7 | 28 | 2.7 | GARCH-N | 47 | 4.53 | 47 | 4.53 | 22 | 2.12 | 22 | 2.12 | GARCH-t | 29 | 2.79 | 29 | 2.79 | 12 | 1.16 | 12 | 1.16 | GARCH-GED | 22 | 2.12 | 22 | 2.12 | 3 | 0.29 | 3 | 0.29 |
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