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Table 19 P-values for the Kupiec test for backtesting the VaR estimates using MS(3)-GARCH (1,1) model with heavy-tailed distributions

From: Estimating the risk of SARS-CoV-2 deaths using a Markov switching-volatility model combined with heavy-tailed distributions for South Africa

VaR Levels

Model

90%

95%

97.5%

99%

MS-GARCH-StD

0.0952

0.0305

0.8136

0.7070

MS-GARCH-SStD

0.4948

0.7862

0.8135

0.6020

MS-GARCH-NRIGD

0.9181

0.7356

0.8136

0.9538

MS-GARCH-PIVD

0.4948

0.7862

0.8136

0.6020

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BMC Public Health

ISSN: 1471-2458

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