Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities
Table 10
VaR violation backtesting for four indices. and are the unconditional coverage test likelihood ratio statistics and the conditional coverage test likelihood ratio statistics, respectively. The Cauchy and Laplace distributions are excluded from this test because they show terrible graphical tail test for the stock indices given by Figure 11. Exp.XVaR (0.01) = number of expected violations and Act.XVaR (0.01) = number of actual violations given 99% VaR estimated.