![]() ![]() Otherwise, the low confidence level of critical values (0.90 and 0.95) appears dependence exceptions. Christoffersen (1998) independence test, the exceptions (failures) of historical VaR and delta normal VaR model show independence exceptions in accordance with an only high confidence level of critical values (0.99). Performance test results for risk measurement by historical VaR provide a fairly accurate over delta normal VaR when we use Kupiec’s POF-test for the accuracy of VaR model. We use Kupiec’s POF test, Independence Test - Christoffersen (1998) and Joint Test that widely use for backtesting VaR model. Cryptocurrency, Bitcoin, Value at Risk, Performance, Independence Test, Joint Test Abstractĭue to conclusion could not rely on only one test, in this study, we apply various approaches to verify the actuary of VaR model to find out whether VaR model, especially historical VaR and delta normal VaR model, can provide the accurate risk measurement results for cryptocurrencies risk, especially CRIX, BTC, ETH and XRP. ![]()
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