The Risk Analysis and Modeling of Byco Petroleum in Pakistan Using Extreme Value Theory

Table 6

Daily VaR backtesting results at various confidence levels.

Confidence levels	99.00%	95.00%	97.50%	99.00%	99.50%	99.75%	99.90%
Number of returns: 1920
VC250	124	78	44	32	24	20	16
		(0.063)	(0.092)	(0.003)
HS250	176	92	52	18	7	—	—
		(0.089)	(0.184)	(0.264)	(0.560)	—	—
HS1000	218	116	50	23	16	10	4
			(0.173)	(0.003)	(0.002)	(0.017)	(0.412)
MCS250	140	83	41	29	23	20	16
	(0.059)	(0.052)	(0.003)
GL static	229	144	83	44	29	20	2
		(0.007)					(0.829)
GEV static	230	136	78	43	33	24	12
	(0.002)		(0.004)
GL MW	223	116	53	23	13	6	1
		(0.002)	(0.187)		(0.091)	(0.884)	(0.974)
GEV MW	221	115	52	23	13	7	4
			(0.183)		(0.091)	(0.610)	(0.418)