Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach

Table 4

The coverage probability of estimative VaR forecast of ARCH(1) process for several (), ranging from 0.90 to 0.99.

0.90	0.93	0.95	0.97	0.99
0.89609	0.92654	0.947024	0.967739	0.988887
0.900009	0.930008	0.950007	0.970005	0.990002
0.891878	0.922777	0.943759	0.965222	0.987607
0.901274	0.93112	0.950958	0.970721	0.990347
0.899503	0.929562	0.949625	0.969717	0.989863
0.901369	0.931441	0.951231	0.970926	0.990446
0.898208	0.928418	0.948643	0.968973	0.989499
0.896911	0.927268	0.947653	0.968219	0.989126
0.901066	0.930938	0.950802	0.970604	0.990291