Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement

Table 4

values for the likelihood ratio tests.

Sample size (n)	RRQ model			ECQ model			AECQ model
	250	0.000	0.001	0.000	0.014	0.013	0.002	0.001	0.006	0.000
500	0.000	0.001	0.000	0.036	0.010	0.003	0.009	0.005	0.000
1000	0.000	0.000	0.000	0.042	0.008	0.003	0.019	0.004	0.000
2000	0.000	0.001	0.000	0.055	0.010	0.005	0.051	0.005	0.002
3000	0.000	0.001	0.000	0.062	0.012	0.006	0.062	0.005	0.003
4000	0.000	0.000	0.000	0.067	0.009	0.005	0.066	0.004	0.002