Model accuracy using backtesting for large portfolios in various weights of domestic assets.
Period I
Period II
2004/1/1−2007/7/31
2007/8/1−2009/11/27
Domestic weights
Sample number
VaR
Number of exceptions
Sample number
VaR
Number of exceptions
Panel A: based on historical simulations
0
780
−0.0374
8
0.0051
587
−0.0438
10
2.4240
0.1
780
−0.0354
8
0.0051
587
−0.0431
10
2.4240
0.2
780
−0.0316
8
0.0051
587
−0.0429
10
2.4240
0.3
780
−0.0305
10
0.5755
587
−0.0426
11
3.6023
0.4
780
−0.0297
12
1.9617
587
−0.0421
11
3.6023
0.5
780
−0.0312
10
0.5755
587
−0.0419
11
3.6023
0.6
780
−0.0301
10
0.5755
587
−0.0413
11
3.6023
0.7
780
−0.0289
11
0.1763
587
−0.0411
11
3.6023
0.8
780
−0.0273
11
0.1763
587
−0.0407
12
4.9661*
0.9
780
−0.0269
11
0.1763
587
−0.0400
12
4.9661*
1
780
−0.0255
11
0.1763
587
−0.0397
12
4.9661*
Panel B: based on analytical VaR
0
780
−0.0598
6
0.4558
587
−0.0569
8
0.7012
0.1
780
−0.0526
6
0.4558
587
−0.0551
8
0.7012
0.2
780
−0.0466
6
0.4558
587
−0.0523
8
0.7012
0.3
780
−0.0400
8
0.0051
587
−0.0504
10
2.4240
0.4
780
−0.0398
8
0.0051
587
−0.0489
10
2.4240
0.5
780
−0.0415
8
0.0051
587
−0.0480
10
2.4240
0.6
780
−0.0450
7
0.0858
587
−0.0476
10
2.4240
0.7
780
−0.0403
5
0.1633
587
−0.0471
10
2.4240
0.8
780
−0.0399
5
0.1633
587
−0.0462
11
3.6023
0.9
780
−0.0388
5
0.1633
587
−0.0451
11
3.6023
1
780
−0.0374
5
0.1633
587
−0.0449
11
3.6023
Note that this table displays backtesting in terms of in-sample fitting for alternative weights of domestic indices. The critical value is 3.84 at a significant level of 5%. The symbol * denotes the significance at a 5% level. The VaRs are the maximum losses of the initial investment of 1 New Taiwan dollar (NTD) over a one-day horizon.
