The Improved Value-at-Risk for Heteroscedastic Processes and Their Coverage Probability

Table 1

The VaR forecast (and improvement) for Generalized ARCH and SVAR models and some extensions of volatility models.

Volatility models
GARCH-n (1, 1)	0.0210 (0.0274)	0.0148 (0.0218)
GARCH-t (1, 1)	0.0236 (0.0289)	0.0167 (0.0229)
SVAR-n (1)	0.0240 (0.0330)	0.0200 (0.0258)
SVAR-t (1)	0.0245 (0.0311)	0.0216 (0.0277)
GJR-GARCH-n (1, 1)	0.0228 (0.0341)	0.0162 (0.0268)
GJR-GARCH-t (1, 1)	0.0249 (0.0367)	0.0176 (0.0278)
TGARCH-n (1, 1)	0.0228 (0.0266)	0.0195 (0.0217)
TGARCH-t (1, 1)	0.0243 (0.0299)	0.0162 (0.0265)