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

Table 11

VaR_m backtesting results.

	Soybean oil		Rapeseed oil		Palm oil
Short position VaRm
	99%	95%	99%	95%	99%	95%
	34	140	32	151	59	225
	1.36344	0.02063	0.78150	1.59221	27.0479	inf
	0.24294	0.88577	0.37668	0.20701	1.98E−07	0
Short position VaRm
	99%	95%	99%	95%	99%	95%
	37	160	29	165	80	239
	2.87393	3.40268	0.10733	5.93351	66.2146	inf
	0.09002	0.06509	0.74320	0.01486	4.04E−16	0