Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China

Table 7

Back-testing results.

Model	95% significance level				99% significance level
	Relative VaR		Absolute VaR		Relative VaR		Absolute VaR
	Failure frequency	Failure rate (%)	Failure frequency	Failure rate (%)	Failure frequency	Failure rate (%)	Failure frequency	Failure rate (%)
Simple VaR	34	3.28	34	3.28	16	1.54	16	1.54
RiskMetrix	55	5.3	55	5.3	28	2.7	28	2.7
GARCH-N	47	4.53	47	4.53	22	2.12	22	2.12
GARCH-t	29	2.79	29	2.79	12	1.16	12	1.16
GARCH-GED	22	2.12	22	2.12	3	0.29	3	0.29