Risk Measure and Early-Warning System of China's Stock Market Based on Price-Earnings Ratio and Price-to-Book Ratio

Table 5

Statistical characteristic and backtesting of different confidence level 𝑡-distribution VaR values.

Model	Confidence level; (%)	VaR; Min	VaR; Max	VaR; mean	Theory; failure	Actual; failure	Failure rate; (%)
GARCH(1, 1)-𝑡	95	−0.0097	−0.0323	−0.0190	44	34	3.833
GARCH(1, 1)-𝑡	99	−0.0161	−0.0536	−0.0094	8	7	0.789