Skip to main content

Table 5 99%-VaR backtesting analysis for pre-crisis period

From: Testing expected shortfall: an application to emerging market stock indices

Distributions Normal Student’s t Skewed-t
Country EV v VR Coverage test Indep test v VR Coverage test Indep test v VR Coverage test Indep test
Brazil 14 21 1.50 3.06 (0.08) 0.64 (0.42) 14 1.00 0.00 (1.00) 0.28 (0.59) 8 0.57 3.07 (0.08) 0.09 (0.76)
Chile 14 24 1.71 5.94 (0.01) 0.63 (0.43) 17 1.21 0.61 (0.44) 1.64 (0.20) 13 0.93 0.07 (0.79) 2.59 (0.11)
Colombia 11 29 2.64 20.52 (0.00) 1.48 (0.22) 19 1.73 4.83 (0.03) 0.67 (0.41) 13 1.18 0.35 (0.56) 0.31 (0.58)
Mexico 14 21 1.50 3.06 (0.08) 0.99 (0.32) 13 0.93 0.07 (0.78) 0.24 (0.62) 12 0.86 0.30 (0.58) 0.21 (0.65)
Peru 14 23 1.64 4.89 (0.03) 3.66 (0.06) 15 1.07 0.07 (0.79) 6.88 (0.01) 15 1.07 0.07 (0.79) 6.88 (0.01)
Cze Rep 14 23 1.64 4.89 (0.03) 0.77 (0.38) 22 1.57 3.93 (0.05) 0.70 (0.40) 17 1.21 0.61 (0.44) 0.42 (0.52)
Egypt 12 18 1.50 2.63 (0.10) 1.22 (0.27) 12 1.00 0.00 (1.00) 2.61 (0.11) 14 1.17 0.32 (0.57) 2.05 (0.15)
Greece 14 18 1.29 1.06 (0.30) 0.47 (0.49) 9 0.64 2.07 (0.15) 0.12 (0.73) 8 0.57 3.07 (0.08) 0.09 (0.76)
Hungary 14 15 1.07 0.07 (0.79) 0.33 (0.57) 10 0.71 1.28 (0.26) 0.14 (0.70) 12 0.86 0.30 (0.58) 0.21 (0.65)
Poland 14 20 1.43 2.29 (0.13) 0.58 (0.44) 18 1.29 1.06 (0.30) 0.47 (0.49) 24 1.71 5.94 (0.01) 0.84 (0.36)
Qatar 14 34 2.43 20.63 (0.00) 0.04 (0.85) 23 1.64 4.89 (0.03) 0.77 (0.38) 26 1.86 8.29 (0.00) 0.98 (0.32)
Russia 14 24 1.71 5.94 (0.01) 0.63 (0.43) 17 1.21 0.61 (0.43) 1.64 (0.20) 9 0.64 2.07 (0.15) 0.12 (0.73)
South Africa 14 21 1.50 3.06 (0.08) 0.64 (0.42) 17 1.21 0.61 (0.43) 0.42 (0.52) 9 0.64 2.07 (0.15) 0.12 (0.73)
Turkey 14 16 1.14 0.28 (0.60) 0.37 (0.54) 14 1.00 0.00 (1.00) 0.28 (0.59) 10 0.71 1.28 (0.26) 0.14 (0.70)
China 9 19 2.11 8.51 (0.00) 0.82 (0.36) 13 1.44 1.58 (0.21) 0.38 (0.54) 23 2.56 15.38 (0.00) 0.25 (0.61)
India 14 23 1.64 4.89 (0.03) 0.74 (0.39) 28 1.29 1.06 (0.30) 1.46 (0.23) 12 0.86 0.30 (0.58) 2.89 (0.09)
Indonesia 14 27 1.93 9.59 (0.00) 0.36 (0.55) 19 1.35 1.62 (0.20) 0.52 (0.47) 18 1.29 1.06 (0.30) 0.47 (0.49)
Korea 13 16 1.23 0.65 (0.42) 0.40 (0.53) 11 0.85 0.33 (0.57) 0.19 (0.66) 4 0.31 8.63 (0.00) 0.02 (0.87)
Malaysia 14 21 1.62 4.19 (0.04) 4.05 (0.04) 16 1.23 0.65 (0.42) 1.73 (0.19) 18 1.38 1.73 (0.19) 1.34 (0.25)
Philippines 14 21 1.50 3.06 (0.08) 0.99 (0.32) 13 0.93 0.07 (0.78) 0.24 (0.62) 17 1.21 0.61 (0.44) 0.42 (0.52)
Taiwan 14 26 1.86 8.29 (0.00) 0.44 (0.51) 18 1.29 1.06 (0.30) 0.47 (0.49) 21 1.50 3.06 (0.08) 0.64 (0.42)
Thailand 14 19 1.36 1.62 (0.20) 0.52 (0.47) 13 0.93 0.07 (0.78) 0.24 (0.62) 10 0.71 1.28 (0.26) 0.14 (0.70)
  1. EV expected violations. v violations according to the model (normal), Student’s t or skewed-t. VR violations ratio (v/EV)
  2. P-value for different statistics in parentheses. For P-values ≤ 0.05 the coverage or independent test fails