Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model

Table 10

VaRn backtesting results.

	Soybean oil		Rapeseed oil		Palm oil
Long position VaRn
	99%	95%	99%	95%	99%	95%
	33	138	32	146	27	148
	0.97685	0.00093	0.78150	0.69594	0.01651	0.69344
	0.32297	0.97564	0.37668	0.40414	0.89773	0.40499
Short position VaRn
	99%	95%	99%	95%	99%	95%
	37	160	29	158	27	142
	2.87393	3.40267	0.10733	3.43356	0.01651	0.10053
	0.09002	0.06509	0.74320	0.06388	0.89773	75119