SFM | TSVM | TUSVM | LRUC | LRIND | LRCC | ZUC | ZDUC | ZGUC |
---|---|---|---|---|---|---|---|---|
LOGIT | GARCH | EX8_5 | 5.06% | 6.33% | 5.06% | 12.66% | 2.53% | 10.13% |
PROBIT | GARCH | EX8_5 | 5.06% | 6.33% | 5.06% | 12.66% | 2.53% | 10.13% |
CLOGLOG | GARCH | EX8_5 | 5.06% | 6.33% | 5.06% | 13.92% | 2.53% | 11.39% |
PROBIT SEL | GARCH | EX8_5 | 6.33% | 12.66% | 6.33% | 10.13% | 2.53% | 7.59% |
CLOGLOG | GARCH | EX9_5 | 6.33% | 10.13% | 6.33% | 12.66% | 5.06% | 7.59% |
LOGIT | GARCH | EX9_5 | 6.33% | 10.13% | 6.33% | 12.66% | 5.06% | 7.59% |
PROBIT | GARCH | EX9_5 | 6.33% | 8.86% | 6.33% | 12.66% | 5.06% | 7.59% |
CLOGLOG | GARCH | EM9_5 | 6.33% | 8.86% | 6.33% | 13.92% | 5.06% | 8.86% |
LOGIT | GARCH | EM9_5 | 6.33% | 8.86% | 6.33% | 13.92% | 5.06% | 8.86% |
PROBIT | GARCH | EM9_5 | 6.33% | 7.59% | 6.33% | 13.92% | 5.06% | 8.86% |
LOGIT SEL | GARCH | EX9_5 | 6.33% | 12.66% | 8.86% | 11.39% | 5.06% | 6.33% |
LOGIT SEL | GARCH | EM9_5 | 6.33% | 12.66% | 8.86% | 12.66% | 5.06% | 7.59% |
NONE | GARCH EMP | NONE | 7.59% | 8.86% | 5.06% | 10.13% | 5.06% | 5.06% |
LOGIT SEL | GARCH | EX8_5 | 7.59% | 11.39% | 6.33% | 11.39% | 3.80% | 7.59% |
CLOGLOG SEL | GARCH | EX8_5 | 7.59% | 11.39% | 6.33% | 12.66% | 3.80% | 8.86% |
CLOGLOG SEL | GARCH | EX9_5 | 7.59% | 12.66% | 8.86% | 12.66% | 6.33% | 6.33% |
CLOGLOG SEL | GARCH | EM9_5 | 7.59% | 12.66% | 8.86% | 13.92% | 6.33% | 7.59% |
PROBIT SEL | GARCH | EM9_5 | 7.59% | 12.66% | 8.86% | 13.92% | 6.33% | 7.59% |
PROBIT SEL | GARCH | EM0_10 | 7.59% | 12.66% | 8.86% | 18.99% | 1.27% | 17.72% |
NONE | GARCH | NONE | 8.86% | 8.86% | 7.59% | 24.05% | 2.53% | 21.52% |
PROBIT SEL | GARCH | EX9_5 | 8.86% | 12.66% | 8.86% | 13.92% | 7.59% | 6.33% |
LOGIT SEL | GARCH | EM0_10 | 8.86% | 13.92% | 11.39% | 17.72% | 1.27% | 16.46% |
CLOGLOG SEL | GARCH | EM0_10 | 8.86% | 15.19% | 11.39% | 18.99% | 1.27% | 17.72% |
LOGIT | GARCH | EM0_10 | 8.86% | 12.66% | 11.39% | 20.25% | 1.27% | 18.99% |
PROBIT | GARCH | EM0_10 | 8.86% | 12.66% | 11.39% | 20.25% | 1.27% | 18.99% |
PROBIT SEL | GARCH | EM8_5 | 8.86% | 11.39% | 11.39% | 20.25% | 1.27% | 18.99% |
CLOGLOG | GARCH | EM0_10 | 8.86% | 15.19% | 12.66% | 21.52% | 1.27% | 20.25% |
LOGIT | GARCH | EM8_5 | 8.86% | 11.39% | 12.66% | 21.52% | 1.27% | 20.25% |
CLOGLOG | GARCH | EM8_5 | 8.86% | 11.39% | 12.66% | 22.78% | 1.27% | 21.52% |
CLOGLOG SEL | GARCH | EX0_10 | 10.13% | 11.39% | 7.59% | 15.19% | 7.59% | 7.59% |
LOGIT | GARCH | EX9_10 | 10.13% | 12.66% | 7.59% | 15.19% | 7.59% | 7.59% |
LOGIT | GARCH | EM9_10 | 10.13% | 12.66% | 7.59% | 16.46% | 7.59% | 8.86% |
LOGIT SEL | GARCH | EX0_10 | 10.13% | 8.86% | 8.86% | 15.19% | 7.59% | 7.59% |
CLOGLOG SEL | GARCH | EM9_10 | 10.13% | 11.39% | 8.86% | 16.46% | 8.86% | 7.59% |
NONE | EGARCH | NONE | 10.13% | 5.06% | 8.86% | 24.05% | 2.53% | 21.52% |
PROBIT | GARCH | EM8_5 | 10.13% | 11.39% | 13.92% | 21.52% | 1.27% | 20.25% |
LOGIT | GARCH | EX0_10 | 11.39% | 12.66% | 6.33% | 16.46% | 6.33% | 10.13% |
CLOGLOG | GARCH | EX0_10 | 11.39% | 11.39% | 6.33% | 17.72% | 7.59% | 10.13% |
PROBIT | GARCH | EX0_10 | 11.39% | 12.66% | 6.33% | 18.99% | 8.86% | 10.13% |
CLOGLOG | GARCH | EX9_10 | 11.39% | 11.39% | 7.59% | 15.19% | 8.86% | 6.33% |
CLOGLOG | GARCH | EM9_10 | 11.39% | 11.39% | 7.59% | 17.72% | 8.86% | 8.86% |
CLOGLOG SEL | GARCH | EX9_10 | 11.39% | 11.39% | 8.86% | 16.46% | 10.13% | 6.33% |
PROBIT SEL | GARCH | EX9_10 | 11.39% | 8.86% | 11.39% | 16.46% | 10.13% | 6.33% |
LOGIT SEL | GARCH | EM9_10 | 11.39% | 8.86% | 11.39% | 17.72% | 10.13% | 7.59% |
CLOGLOG SEL | GARCH | EM8_5 | 11.39% | 11.39% | 11.39% | 21.52% | 2.53% | 18.99% |
LOGIT SEL | GARCH | EM8_5 | 11.39% | 11.39% | 12.66% | 21.52% | 1.27% | 20.25% |
PROBIT | GARCH | EX9_10 | 12.66% | 12.66% | 7.59% | 16.46% | 10.13% | 6.33% |
PROBIT | GARCH | EM9_10 | 12.66% | 12.66% | 7.59% | 18.99% | 10.13% | 8.86% |
PROBIT SEL | GARCH | EX0_10 | 12.66% | 8.86% | 10.13% | 16.46% | 8.86% | 7.59% |
LOGIT SEL | GARCH | EX9_10 | 12.66% | 8.86% | 11.39% | 17.72% | 11.39% | 6.33% |
PROBIT SEL | GARCH | EM9_10 | 12.66% | 8.86% | 11.39% | 17.72% | 10.13% | 7.59% |
NONE | GARCH-t | NONE | 77,22% | 2,53% | 51,90% | 77,22% | 75,95% | 1,27% |
SFM | TSVM | TUSVM | LRUC | LRIND | LRCC | ZUC | ZDUC | ZGUC |
---|---|---|---|---|---|---|---|---|
NONE | GARCH EMP | NONE | 7.59% | 8.86% | 5.06% | 10.13% | 5.06% | 5.06% |
CLOGLOG | GARCH EMP | EX8_5 | 8.86% | 5.06% | 1.27% | 8.86% | 8.86% | 0.00% |
LOGIT | GARCH EMP | EX8_5 | 8.86% | 5.06% | 1.27% | 8.86% | 8.86% | 0.00% |
PROBIT | GARCH EMP | EX8_5 | 8.86% | 5.06% | 1.27% | 8.86% | 8.86% | 0.00% |
NONE | GARCH | NONE | 8.86% | 8.86% | 7.59% | 24.05% | 2.53% | 21.52% |
LOGIT SEL | GARCH EMP | EX8_5 | 10.13% | 7.59% | 2.53% | 10.13% | 10.13% | 0.00% |
PROBIT SEL | GARCH EMP | EX8_5 | 10.13% | 8.86% | 3.80% | 10.13% | 10.13% | 0.00% |
NONE | EGARCH | NONE | 10.13% | 5.06% | 8.86% | 24.05% | 2.53% | 21.52% |
CLOGLOG SEL | GARCH EMP | EX8_5 | 11.39% | 7.59% | 2.53% | 11.39% | 11.39% | 0.00% |
CLOGLOG | GARCH EMP | EM9_5 | 11.39% | 6.33% | 3.80% | 11.39% | 11.39% | 0.00% |
LOGIT | GARCH EMP | EM9_5 | 11.39% | 6.33% | 3.80% | 11.39% | 11.39% | 0.00% |
PROBIT | GARCH EMP | EM9_5 | 11.39% | 5.06% | 3.80% | 11.39% | 11.39% | 0.00% |
CLOGLOG | GARCH EMP | EX9_5 | 11.39% | 6.33% | 5.06% | 11.39% | 11.39% | 0.00% |
LOGIT | GARCH EMP | EX9_5 | 11.39% | 6.33% | 5.06% | 11.39% | 11.39% | 0.00% |
PROBIT | GARCH EMP | EX9_5 | 11.39% | 6.33% | 5.06% | 11.39% | 11.39% | 0.00% |
LOGIT SEL | GARCH EMP | EM9_5 | 13.92% | 8.86% | 6.33% | 13.92% | 13.92% | 0.00% |
LOGIT SEL | GARCH EMP | EX9_5 | 13.92% | 8.86% | 7.59% | 13.92% | 13.92% | 0.00% |
LOGIT | GARCH EMP | EX0_10 | 15.19% | 8.86% | 5.06% | 15.19% | 15.19% | 0.00% |
CLOGLOG SEL | GARCH EMP | EM9_5 | 15.19% | 8.86% | 6.33% | 15.19% | 15.19% | 0.00% |
CLOGLOG SEL | GARCH EMP | EX0_10 | 15.19% | 8.86% | 7.59% | 15.19% | 15.19% | 0.00% |
CLOGLOG SEL | GARCH EMP | EX9_5 | 15.19% | 8.86% | 7.59% | 15.19% | 15.19% | 0.00% |
CLOGLOG | GARCH EMP | EX0_10 | 16.46% | 7.59% | 5.06% | 16.46% | 16.46% | 0.00% |
PROBIT | GARCH EMP | EX0_10 | 16.46% | 8.86% | 5.06% | 16.46% | 16.46% | 0.00% |
LOGIT | GARCH EMP | EM9_10 | 16.46% | 8.86% | 6.33% | 16.46% | 16.46% | 0.00% |
PROBIT SEL | GARCH EMP | EM9_5 | 16.46% | 8.86% | 7.59% | 16.46% | 16.46% | 0.00% |
LOGIT | GARCH EMP | EX9_10 | 17.72% | 8.86% | 6.33% | 17.72% | 17.72% | 0.00% |
PROBIT | GARCH EMP | EM9_10 | 17.72% | 8.86% | 6.33% | 17.72% | 17.72% | 0.00% |
CLOGLOG | GARCH EMP | EM9_10 | 17.72% | 7.59% | 7.59% | 17.72% | 17.72% | 0.00% |
LOGIT SEL | GARCH EMP | EX0_10 | 17.72% | 7.59% | 7.59% | 17.72% | 17.72% | 0.00% |
PROBIT SEL | GARCH EMP | EX9_5 | 17.72% | 8.86% | 7.59% | 17.72% | 17.72% | 0.00% |
CLOGLOG SEL | GARCH EMP | EM9_10 | 17.72% | 8.86% | 10.13% | 17.72% | 17.72% | 0.00% |
PROBIT | GARCH EMP | EX9_10 | 18.99% | 8.86% | 6.33% | 18.99% | 18.99% | 0.00% |
CLOGLOG | GARCH EMP | EX9_10 | 18.99% | 7.59% | 7.59% | 18.99% | 18.99% | 0.00% |
PROBIT SEL | GARCH EMP | EX0_10 | 20.25% | 6.33% | 8.86% | 20.25% | 20.25% | 0.00% |
CLOGLOG SEL | GARCH EMP | EX9_10 | 20.25% | 7.59% | 10.13% | 20.25% | 20.25% | 0.00% |
LOGIT SEL | GARCH EMP | EM9_10 | 21.52% | 7.59% | 11.39% | 21.52% | 21.52% | 0.00% |
PROBIT SEL | GARCH EMP | EM9_10 | 21.52% | 6.33% | 12.66% | 21.52% | 21.52% | 0.00% |
PROBIT SEL | GARCH EMP | EX9_10 | 22.78% | 6.33% | 12.66% | 22.78% | 22.78% | 0.00% |
LOGIT SEL | GARCH EMP | EX9_10 | 24.05% | 6.33% | 11.39% | 24.05% | 24.05% | 0.00% |
NONE | GARCH-t | NONE | 77.22% | 2.53% | 51.90% | 77.22% | 75.95% | 1.27% |
SFM | TSVM | TUSVM | VALUE-AT-RISK (WHOLE OUT-OF-SAMPLE ) | STRESSED VALUE-AT-RISK (THE WORST 250 DAYS) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EN | ER | ABAD | LOPEZ | CAPORIN | EXCOST | GREEN | AT LEAST YELLOW | RED | EN | ER | GREEN | AT LEAST YELLOW | RED | |||
NONE | GARCH-t | NONE | 1.25 | 0.24% | 6.3% | 2.46 | 12.5% | 11.6% | 98.7% 1 | 98.7% 1 | 1.3% | 1.03 | 0.4% | 97.5% | 98.7% | 1.3% |
PROBITSEL | GARCH | EX9JI0 | 4.39 | 0.84% | 8.4% | 4.51 | 11.1% | 10.3% | 93.7% | 98.7% | 1.3% | 3.56 | 1.4% | 72.2% | 93.7% | 6.3% |
LOGITSEL | GARCH | EX9JI0 | 4.44 | 0.85% | 8.6% | 4.56 | 11.0% | 10.1% | 93.7% | 98.7% | 1.3% | 3.61 | 1.4% | 68.4% | 93.7% | 6.3% |
CLOGLOG SEL | GARCH | EX9JI0 | 4.53 | 0.86% | 8.7% | 4.59 | 10.9% | 10.0% | 93.7% | 98.7% | 1.3% | 3.66 | 1.5% | 68.4% | 93.7% | 6.3% |
PROBIT | GARCH | EX9JI0 | 4.56 | 0.87% | 8.5% | 4.62 | 11.0% | 10.2% | 93.7% | 97.5% | 2.5% | 3.63 | 1.5% | 70.9% | 93.7% | 6.3% |
PROBITSEL | GARCH | EM9JI0 | 4.58 | 0.87% | 8.8% | 4.71 | 8.7% | 7.8% | 92.4% | 97.5% | 2.5% | 3.71 | 1.5% | 68.4% | 92.4% | 7.6% |
CLOGLOG | GARCH | EX9JI0 | 4.59 | 0.88% | 8.6% | 4.66 | 10.8% | 10.0% | 93.7% | 97.5% | 2.5% | 3.67 | 1.5% | 73.4% | 93.7% | 6.3% |
NONE | GARCH EMP | NONE | 4.61 | 0.88% | 9.2% | 4.67 | 7.2% | 6.4% | 94.9% | 97.5% | 2.5% | 3.73 | 1.5% | 68.4% | 96.2% | 3.8% |
LOGIT | GARCH | EX9JI0 | 4.62 | 0.88% | 8.6% | 4.68 | 10.9% | 10.0% | 92.4% | 97.5% | 2.5% | 3.67 | 1.5% | 70.9% | 93.7% | 6.3% |
LOGITSEL | GARCH | EM9JI0 | 4.63 | 0.88% | 9.0% | 4.76 | 8.6% | 7.8% | 92.4% | 98.7% | 1.3% | 3.78 | 1.5% | 64.6% | 93.7% | 6.3% |
PROBITSEL | GARCH | EXOJIO | 4.67 | 0.89% | 9.0% | 4.80 | 7.9% | 7.1% | 92.4% | 96.2% | 3.8% | 3.80 | 1.5% | 65.8% | 91.1% | 8.9% |
CLOGLOG SEL | GARCH | EM9JI0 | 4.71 | 0.90% | 9.1% | 4.77 | 8.5% | 7.7% | 92.4% | 98.7% | 1.3% | 3.82 | 1.5% | 64.6% | 93.7% | 6.3% |
LOGITSEL | GARCH | EXOJIO | 4.75 | 0.90% | 9.1% | 4.81 | 7.8% | 7.0% | 92.4% | 97.5% | 2.5% | 3.90 | 1.6% | 59.5% | 92.4% | 7.6% |
CLOGLOG SEL | GARCH | EX9_5 | 4.76 | 0.91% | 9.0% | 4.82 | 17.1% | 16.3% | 93.7% | 98.7% | 1.3% | 3.81 | 1.5% | 69.6% | 93.7% | 6.3% |
PROBITSEL | GARCH | EX9_5 | 4.77 | 0.91% | 8.9% | 4.84 | 21.6% | 20.8% | 93.7% | 98.7% | 1.3% | 3.84 | 1.5% | 69.6% | 93.7% | 6.3% |
PROBIT | GARCH | EM9JI0 | 4.77 | 0.91% | 8.9% | 4.84 | 8.6% | 7.8% | 91.1% | 97.5% | 2.5% | 3.80 | 1.5% | 68.4% | 93.7% | 6.3% |
LOGITSEL | GARCH | EX9_5 | 4.80 | 0.91% | 9.0% | 4.86 | 17.1% | 16.3% | 93.7% | 98.7% | 1.3% | 3.87 | 1.5% | 69.6% | 92.4% | 7.6% |
CLOGLOG SEL | GARCH | EXOJIO | 4.80 | 0.91% | 9.2% | 4.80 | 7.8% | 7.0% | 92.4% | 97.5% | 2.5% | 3.91 | 1.6% | 59.5% | 92.4% | 7.6% |
CLOGLOG | GARCH | EM9JI0 | 4.81 | 0.92% | 9.0% | 4.88 | 8.6% | 7.7% | 91.1% | 97.5% | 2.5% | 3.84 | 1.5% | 69.6% | 92.4% | 7.6% |
LOGIT | GARCH | EX9_5 | 4.84 | 0.92% | 8.8% | 4.90 | 16.8% | 16.0% | 92.4% | 98.7% | 1.3% | 3.95 | 1.6% | 64.6% | 92.4% | 7.6% |
PROBIT | GARCH | EX9_5 | 4.84 | 0.92% | 8.8% | 4.90 | 16.9% | 16.1% | 92.4% | 98.7% | 1.3% | 3.95 | 1.6% | 64.6% | 92.4% | 7.6% |
LOGIT | GARCH | EM9JI0 | 4.84 | 0.92% | 9.0% | 4.90 | 8.6% | 7.7% | 91.1% | 97.5% | 2.5% | 3.85 | 1.5% | 68.4% | 93.7% | 6.3% |
CLOGLOG | GARCH | EX9_5 | 4.86 | 0.93% | 8.8% | 4.93 | 16.8% | 16.0% | 92.4% | 98.7% | 1.3% | 3.99 | 1.6% | 64.6% | 92.4% | 7.6% |
PROBIT | GARCH | EXOJIO | 4.86 | 0.93% | 9.1% | 4.86 | 7.9% | 7.1% | 89.9% | 97.5% | 2.5% | 3.87 | 1.5% | 65.8% | 92.4% | 7.6% |
CLOGLOG SEL | GARCH | EM9_5 | 4.87 | 0.93% | 9.3% | 4.94 | 8.6% | 7.8% | 92.4% | 98.7% | 1.3% | 3.92 | 1.6% | 64.6% | 93.7% | 6.3% |
PROBITSEL | GARCH | EM9_5 | 4.87 | 0.93% | 9.1% | 4.94 | 8.6% | 7.8% | 92.4% | 98.7% | 1.3% | 3.94 | 1.6% | 67.1% | 92.4% | 7.6% |
LOGITSEL | GARCH | EM9_5 | 4.91 | 0.94% | 9.2% | 4.98 | 8.6% | 7.8% | 92.4% | 98.7% | 1.3% | 3.99 | 1.6% | 64.6% | 91.1% | 8.9% |
CLOGLOG | GARCH | EXOJIO | 4.91 | 0.94% | 9.2% | 4.92 | 7.8% | 7.0% | 89.9% | 96.2% | 3.8% | 3.92 | 1.6% | 65.8% | 88.6% | 11.4% |
LOGIT | GARCH | EXOJIO | 4.92 | 0.94% | 9.2% | 4.93 | 7.8% | 7.0% | 89.9% | 94.9% | 5.1% | 3.92 | 1.6% | 65.8% | 89.9% | 10.1% |
LOGIT | GARCH | EM9_5 | 4.95 | 0.94% | 9.1% | 5.02 | 8.5% | 7.6% | 91.1% | 98.7% | 1.3% | 4.04 | 1.6% | 64.6% | 92.4% | 7.6% |
PROBIT | GARCH | EM9_5 | 4.95 | 0.94% | 9.1% | 5.02 | 8.5% | 7.7% | 91.1% | 98.7% | 1.3% | 4.06 | 1.6% | 63.3% | 92.4% | 7.6% |
CLOGLOG | GARCH | EM9_5 | 4.97 | 0.95% | 9.1% | 5.04 | 8.5% | 7.7% | 91.1% | 98.7% | 1.3% | 4.08 | 1.6% | 64.6% | 92.4% | 7.6% |
CLOGLOG SEL | GARCH | EX8_5 | 5.23 | 1.00% | 10.1% | 5.23 | 7.3% | 6.5% | 91.1% | 96.2% | 3.8% | 4.23 | 1.7% | 58.2% | 89.9% | 10.1% |
PROBITSEL | GARCH | EX8_5 | 5.25 | 1.00% | 10.0% | 5.26 | 7.3% | 6.5% | 92.4% | 96.2% | 3.8% | 4.25 | 1.7% | 60.8% | 89.9% | 10.1% |
LOGIT | GARCH | EX8_5 | 5.27 | 1.00% | 9.9% | 5.27 | 7.3% | 6.5% | 89.9% | 97.5% | 2.5% | 4.32 | 1.7% | 55.7% | 89.9% | 10.1% |
LOGITSEL | GARCH | EX8_5 | 5.28 | 1.01% | 10.1% | 5.28 | 7.3% | 6.5% | 92.4% | 96.2% | 3.8% | 4.28 | 1.7% | 59.5% | 87.3% | 12.7% |
PROBIT | GARCH | EX8_5 | 5.29 | 1.01% | 9.9% | 5.30 | 7.3% | 6.5% | 89.9% | 97.5% | 2.5% | 4.33 | 1.7% | 54.4% | 89.9% | 10.1% |
CLOGLOG | GARCH | EX8_5 | 5.29 | 1.01% | 9.9% | 5.30 | 7.3% | 6.5% | 88.6% | 97.5% | 2.5% | 4.35 | 1.7% | 55.7% | 89.9% | 10.1% |
CLOGLOG SEL | GARCH | EMOJIO | 6.01 | 1.15% | 12.6% | 6.02 | 6.8% | 6.0% | 82.3% | 92.4% | 7.6% | 4.99 | 2.0% | 50.6% | 79.7% | 20.3% |
PROBITSEL | GARCH | EMOJIO | 6.03 | 1.15% | 12.4% | 6.03 | 6.8% | 6.1% | 82.3% | 93.7% | 6.3% | 4.99 | 2.0% | 51.9% | 79.7% | 20.3% |
LOGITSEL | GARCH | EMOJIO | 6.04 | 1.15% | 12.7% | 6.04 | 6.8% | 6.0% | 83.5% | 92.4% | 7.6% | 5.01 | 2.0% | 48.1% | 79.7% | 20.3% |
PROBIT | GARCH | EMOJIO | 6.19 | 1.18% | 12.7% | 6.20 | 6.8% | 6.0% | 81.0% | 92.4% | 7.6% | 5.08 | 2.0% | 46.8% | 81.0% | 19.0% |
CLOGLOG | GARCH | EMOJIO | 6.20 | 1.18% | 12.8% | 6.21 | 6.8% | 6.0% | 79.7% | 92.4% | 7.6% | 5.05 | 2.0% | 49.4% | 79.7% | 20.3% |
LOGIT | GARCH | EMOJIO | 6.23 | 1.19% | 12.8% | 6.23 | 6.8% | 6.0% | 81.0% | 92.4% | 7.6% | 5.09 | 2.0% | 48.1% | 79.7% | 20.3% |
CLOGLOG SEL | GARCH | EM8_5 | 6.29 | 1.20% | 13.2% | 6.30 | 6.7% | 5.9% | 81.0% | 91.1% | 8.9% | 5.15 | 2.1% | 43.0% | 75.9% | 24.1% |
PROBITSEL | GARCH | EM8_5 | 6.37 | 1.21% | 13.1% | 6.37 | 6.7% | 5.9% | 81.0% | 92.4% | 7.6% | 5.22 | 2.1% | 43.0% | 77.2% | 22.8% |
LOGITSEL | GARCH | EM8_5 | 6.37 | 1.21% | 13.2% | 6.37 | 6.7% | 5.9% | 79.7% | 89.9% | 10.1% | 5.24 | 2.1% | 43.0% | 77.2% | 22.8% |
LOGIT | GARCH | EM8_5 | 6.39 | 1.22% | 12.9% | 6.40 | 6.7% | 5.9% | 79.7% | 92.4% | 7.6% | 5.29 | 2.1% | 36.7% | 79.7% | 20.3% |
CLOGLOG | GARCH | EM8_5 | 6.39 | 1.22% | 12.9% | 6.40 | 6.7% | 5.9% | 78.5% | 92.4% | 7.6% | 5.32 | 2.1% | 38.0% | 78.5% | 21.5% |
NONE | GARCH | NONE | 6.42 | 1.22% | 12.5% | 6.42 | 6.6% | 5.8% | 78.5% | 93.7% | 6.3% | 5.18 | 2.1% | 39.2% | 78.5% | 21.5% |
PROBIT | GARCH | EM8_5 | 6.43 | 1.22% | 13.1% | 6.44 | 6.7% | 5.9% | 79.7% | 91.1% | 8.9% | 5.34 | 2.1% | 35.4% | 78.5% | 21.5% |
NONE | EGARCH | NONE | 6.53 | 1.24% | 12.5% | 6.54 | 6.7% | 5.9% | 78.5% | 92.4% | 7.6% | 5.19 | 2.1% | 40.5% | 81.0% | 19.0% |
SFM | TSVM | TUSVM | VALUE-AT-RISK (WHOLE OUT-OF-SAMPLE ) | STRESSED VALUE-AT-RISK (THE WORST 250 DAYS) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
EN | ER | ABAD | LOPEZ | CAPORIN | EXCOST | GREEN | ATLEASTYELLOW | RED | EN | ER | GREEN | ATLEASTYELLOW | RED | |||
NONE | GARCH-t | NONE | 1.25 | 0.24% | 6.3% | 2.46 | 12.5% | 11.6% | 98.7% | 98.7% | 1.3% | 1.03 | 0.4% | 97.5% | 98.7% | 1.3% |
PROBITSEL | GARCH EMP | EX9_10 | 3.06 | 0.58% | 6.4% | 3.27 | 11.6% | 10.7% | 100.0% | 100.0% | 0.0% | 2.56 | 1.0% | 88.6% | 100.0% | 0.0% |
LOGITSEL | GARCH EMP | EX9_10 | 3.09 | 0.59% | 6.4% | 3.26 | 11.4% | 10.6% | 100.0% | 100.0% | 0.0% | 2.58 | 1.0% | 89.9% | 98.7% | 1.3% |
CLOGLOG SEL | GARCH EMP | EX9_10 | 3.16 | 0.60% | 6.6% | 3.34 | 11.3% | 10.5% | 100.0% | 100.0% | 0.0% | 2.62 | 1.0% | 91.1% | 98.7% | 1.3% |
CLOGLOG | GARCH EMP | EX9_10 | 3.18 | 0.61% | 6.3% | 3.31 | 11.3% | 10.5% | 100.0% | 100.0% | 0.0% | 2.67 | 1.1% | 88.6% | 100.0% | 0.0% |
PROBIT | GARCH EMP | EX9_10 | 3.18 | 0.61% | 6.3% | 3.31 | 11.5% | 10.7% | 100.0% | 100.0% | 0.0% | 2.66 | 1.1% | 87.3% | 100.0% | 0.0% |
LOGIT | GARCH EMP | EX9_10 | 3.20 | 0.61% | 6.3% | 3.33 | 11.3% | 10.5% | 100.0% | 100.0% | 0.0% | 2.68 | 1.1% | 88.6% | 100.0% | 0.0% |
PROBITSEL | GARCH EMP | EM9_10 | 3.25 | 0.62% | 6.8% | 3.48 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.72 | 1.1% | 86.1% | 100.0% | 0.0% |
LOGITSEL | GARCH EMP | EM9_10 | 3.28 | 0.62% | 6.8% | 3.46 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.76 | 1.1% | 87.3% | 98.7% | 1.3% |
CLOGLOG SEL | GARCH EMP | EM9_10 | 3.34 | 0.64% | 7.0% | 3.52 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 2.77 | 1.1% | 88.6% | 98.7% | 1.3% |
PROBITSEL | GARCH EMP | EX0_10 | 3.34 | 0.64% | 6.9% | 3.52 | 8.4% | 7.5% | 100.0% | 100.0% | 0.0% | 2.80 | 1.1% | 86.1% | 100.0% | 0.0% |
CLOGLOG | GARCH EMP | EM9_10 | 3.39 | 0.65% | 6.8% | 3.53 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 2.81 | 1.1% | 84.8% | 100.0% | 0.0% |
LOGITSEL | GARCH EMP | EX0_10 | 3.39 | 0.65% | 7.0% | 3.53 | 8.3% | 7.5% | 100.0% | 100.0% | 0.0% | 2.86 | 1.1% | 84.8% | 98.7% | 1.3% |
PROBIT | GARCH EMP | EM9_10 | 3.39 | 0.65% | 6.7% | 3.53 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.80 | 1.1% | 83.5% | 100.0% | 0.0% |
PROBITSEL | GARCH EMP | EX9_5 | 3.39 | 0.65% | 6.5% | 3.48 | 22.1% | 21.3% | 100.0% | 100.0% | 0.0% | 2.81 | 1.1% | 87.3% | 100.0% | 0.0% |
LOGIT | GARCH EMP | EM9_10 | 3.42 | 0.65% | 6.8% | 3.56 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 2.82 | 1.1% | 84.8% | 100.0% | 0.0% |
CLOGLOG SEL | GARCH EMP | EX0_10 | 3.43 | 0.65% | 7.1% | 3.57 | 8.3% | 7.5% | 100.0% | 100.0% | 0.0% | 2.85 | 1.1% | 86.1% | 98.7% | 1.3% |
CLOGLOG SEL | GARCH EMP | EX9_5 | 3.43 | 0.65% | 6.7% | 3.52 | 17.6% | 16.8% | 100.0% | 100.0% | 0.0% | 2.81 | 1.1% | 87.3% | 100.0% | 0.0% |
LOGITSEL | GARCH EMP | EX9_5 | 3.47 | 0.66% | 6.6% | 3.56 | 17.6% | 16.8% | 100.0% | 100.0% | 0.0% | 2.87 | 1.1% | 83.5% | 100.0% | 0.0% |
LOGIT | GARCH EMP | EX9_5 | 3.48 | 0.66% | 6.3% | 3.57 | 17.3% | 16.5% | 100.0% | 100.0% | 0.0% | 2.92 | 1.2% | 87.3% | 100.0% | 0.0% |
PROBIT | GARCH EMP | EX0_10 | 3.48 | 0.66% | 6.9% | 3.57 | 8.3% | 7.5% | 100.0% | 100.0% | 0.0% | 2.87 | 1.1% | 82.3% | 98.7% | 1.3% |
CLOGLOG | GARCH EMP | EXCMO | 3.49 | 0.67% | 7.0% | 3.59 | 8.3% | 7.5% | 100.0% | 100.0% | 0.0% | 2.90 | 1.2% | 82.3% | 98.7% | 1.3% |
CLOGLOG | GARCH EMP | EX9_5 | 3.49 | 0.67% | 6.3% | 3.59 | 17.3% | 16.5% | 100.0% | 100.0% | 0.0% | 2.95 | 1.2% | 86.1% | 100.0% | 0.0% |
PROBIT | GARCH EMP | EX9_5 | 3.49 | 0.67% | 6.4% | 3.59 | 17.4% | 16.6% | 100.0% | 100.0% | 0.0% | 2.92 | 1.2% | 87.3% | 100.0% | 0.0% |
PROBITSEL | GARCH EMP | EM9_5 | 3.49 | 0.67% | 6.7% | 3.59 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.89 | 1.2% | 87.3% | 100.0% | 0.0% |
LOGIT | GARCH EMP | EX0_10 | 3.51 | 0.67% | 7.0% | 3.60 | 8.3% | 7.5% | 100.0% | 100.0% | 0.0% | 2.90 | 1.2% | 82.3% | 98.7% | 1.3% |
CLOGLOG SEL | GARCH EMP | EM9_5 | 3.54 | 0.68% | 6.8% | 3.59 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.90 | 1.2% | 86.1% | 100.0% | 0.0% |
LOGITSEL | GARCH EMP | EM9_5 | 3.58 | 0.68% | 6.7% | 3.63 | 9.1% | 8.3% | 100.0% | 100.0% | 0.0% | 2.96 | 1.2% | 83.5% | 100.0% | 0.0% |
LOGIT | GARCH EMP | EM9_5 | 3.59 | 0.68% | 6.6% | 3.64 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 3.01 | 1.2% | 87.3% | 100.0% | 0.0% |
CLOGLOG | GARCH EMP | EM9_5 | 3.61 | 0.69% | 6.6% | 3.66 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 3.04 | 1.2% | 86.1% | 100.0% | 0.0% |
PROBIT | GARCH EMP | EM9_5 | 3.61 | 0.69% | 6.6% | 3.66 | 9.0% | 8.2% | 100.0% | 100.0% | 0.0% | 3.03 | 1.2% | 87.3% | 100.0% | 0.0% |
PROBITSEL | GARCH EMP | EX8_5 | 3.87 | 0.74% | 7.6% | 3.93 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.19 | 1.3% | 78.5% | 100.0% | 0.0% |
CLOGLOG SEL | GARCH EMP | EX8_5 | 3.90 | 0.74% | 7.7% | 3.90 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.19 | 1.3% | 79.7% | 98.7% | 1.3% |
LOGIT | GARCH EMP | EX8_5 | 3.91 | 0.75% | 7.4% | 3.91 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.29 | 1.3% | 82.3% | 98.7% | 1.3% |
CLOGLOG | GARCH EMP | EX8_5 | 3.92 | 0.75% | 7.4% | 3.93 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.32 | 1.3% | 81.0% | 98.7% | 1.3% |
LOGITSEL | GARCH EMP | EX8_5 | 3.95 | 0.75% | 7.6% | 3.95 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.24 | 1.3% | 77.2% | 98.7% | 1.3% |
PROBIT | GARCH EMP | EX8_5 | 3.95 | 0.75% | 7.5% | 3.95 | 7.8% | 7.0% | 100.0% | 100.0% | 0.0% | 3.30 | 1.3% | 79.7% | 98.7% | 1.3% |
NONE | GARCH EMP | NONE | 4.61 | 0.88% | 9.16% | 4.67 | 7.23% | 6.43% | 94.9% | 97.5% | 2.5% | 3.73 | 1.49% | 68.4% | 96.2% | 3.8% |
NONE | EGARCH_EMP | NONE | 4.84 | 0.92% | 9.46% | 4.84 | 7.29% | 6.49% | 93.7% | 96.2% | 3.8% | 4.01 | 1.61% | 74.7% | 94.9% | 5.1% |
NONE | GARCH | NONE | 6.42 | 1.22% | 12.48% | 6.42 | 6.58% | 5.79% | 78.5% | 93.7% | 6.3% | 5.18 | 2.07% | 39.2% | 78.5% | 21.5% |
NONE | EGARCH | NONE | 6.53 | 1.24% | 12.48% | 6.54 | 6.68% | 5.90% | 78.5% | 92.4% | 7.6% | 5.19 | 2.08% | 40.5% | 81.0% | 19.0% |
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