Tables index


A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk

Cyprian Ondieki Omari

International Journal of Econometrics and Financial Management. 2017, 5(2), 22-32 doi:10.12691/ijefm-5-2-1
  • Table 1. Descriptive Summary Statistics of Exchange Returns
  • Table 2. Parameter estimates of the mean and volatility equations for the fitted models and statistics on the standardized residuals (in-sample period)
  • Table 3. Diagnostic statistics of raw data and standardized residuals AR(1)-GARCH(1,1)
  • Table 4. VaR Violation Ratios of daily returns (in %) and model ranking
  • Table 5. Unconditional Coverage
  • Table 6. Conditional Coverage