spb/wp46_uqo

1\begin{tabular}{lrrrrrrrrrr}2\toprule3 & \multicolumn{5}{c}{1\% VaR / ES} & \multicolumn{5}{c}{5\% VaR / ES} \\4\cmidrule(lr){2-6}\cmidrule(lr){7-11}5Model & hit \% & UC rej. \% & CC rej. \% & DQ rej. \% & FZ0 ratio & hit \% & UC rej. \% & CC rej. \% & DQ rej. \% & FZ0 ratio \\6\midrule7EGARCH(1,1)-t & 1.49 & 62 & 62 & 67 & 2.333 & 5.78 & 45 & 45 & 52 & -2.953 \\8EGARCH(1,1), constrained-t & 1.37 & 45 & 48 & 62 & 0.990 & 5.77 & 40 & 43 & 38 & 0.989 \\9GJR-GARCH(1,1)-t & 1.35 & 38 & 40 & 45 & 0.992 & 5.77 & 40 & 45 & 40 & 1.004 \\10NAGARCH(1,1)-t & 1.36 & 41 & 43 & 54 & 0.986 & 5.80 & 46 & 43 & 57 & 1.004 \\11QGARCH(1,1)-t & 1.30 & 41 & 38 & 38 & 0.983 & 5.73 & 44 & 41 & 44 & 1.000 \\12TGARCH(1,1)-t & 1.32 & 36 & 45 & 60 & 0.986 & 5.75 & 38 & 40 & 33 & 0.988 \\13Constant variance-N & 1.92 & 83 & 95 & 100 & 1.365 & 4.53 & 29 & 79 & 100 & 0.950 \\14EWMA-N & 2.18 & 95 & 95 & 95 & 1.127 & 5.59 & 38 & 43 & 67 & 1.051 \\15Historical variance, 22 days & 1.07 & 0 & 17 & 67 & 1.014 & 5.25 & 2 & 14 & 95 & 1.031 \\16Historical variance, 252 days & 1.03 & 0 & 55 & 98 & 1.162 & 4.85 & 0 & 60 & 88 & 0.943 \\17Historical variance, 66 days & 1.10 & 0 & 36 & 90 & 1.050 & 5.06 & 0 & 43 & 86 & 1.004 \\18RiskMetrics 2006-N & 1.84 & 90 & 86 & 93 & 1.059 & 5.01 & 5 & 12 & 38 & 1.041 \\19ARCH(5)-t & 1.29 & 43 & 38 & 45 & 1.007 & 5.79 & 48 & 40 & 33 & 0.974 \\20GARCH(1,1)-t & 1.30 & 36 & 36 & 40 & 1.000 & 5.87 & 52 & 43 & 48 & 1.000 \\21GARCH(1,2)-t & 1.29 & 40 & 38 & 48 & 1.004 & 5.78 & 50 & 45 & 45 & 0.999 \\22GARCH(2,1)-t & 1.32 & 36 & 48 & 55 & 1.003 & 5.79 & 48 & 36 & 43 & 1.000 \\23GARCH-M(1,1)-t & 1.29 & 37 & 37 & 44 & 1.002 & 5.87 & 54 & 44 & 54 & 1.002 \\24IGARCH(1,1)-t & 1.17 & 22 & 27 & 41 & 0.996 & 5.41 & 22 & 27 & 44 & 1.009 \\25Component GARCH-t & 1.32 & 40 & 40 & 52 & 0.988 & 5.73 & 42 & 42 & 50 & 1.002 \\26GARCH-MIDAS-t & 1.29 & 31 & 33 & 49 & 0.996 & 5.58 & 31 & 31 & 41 & 0.999 \\27FIAPARCH(1,d,1)-t & 1.32 & 34 & 41 & 49 & 0.984 & 5.66 & 29 & 34 & 34 & 1.003 \\28FIEGARCH(1,d,1)-t & 1.34 & 43 & 43 & 57 & 1.002 & 5.62 & 29 & 29 & 36 & 0.983 \\29FIGARCH(1,d,1)-t & 1.25 & 29 & 38 & 43 & 0.994 & 5.60 & 29 & 36 & 45 & 1.001 \\30HYGARCH(1,d,1)-t & 1.32 & 38 & 46 & 56 & 0.997 & 5.59 & 38 & 31 & 38 & 0.994 \\31APARCH(1,1)-t & 1.36 & 45 & 45 & 62 & 0.994 & 5.75 & 45 & 40 & 48 & 1.012 \\32AVGARCH(1,1)-t & 1.34 & 40 & 40 & 52 & 0.998 & 5.77 & 40 & 36 & 43 & 0.982 \\33GARCH-X(1,1) with lagged realized measure-t & 1.27 & 25 & 18 & 32 & 0.950 & 5.62 & 25 & 12 & 22 & 0.995 \\34HAR-RV & 0.68 & 40 & 48 & 40 & 1.678 & 2.85 & 95 & 98 & 90 & 0.226 \\35HEAVY(1,1)-t & 1.27 & 22 & 22 & 28 & 0.949 & 5.59 & 20 & 18 & 20 & 0.998 \\36log-HAR-RV & 1.21 & 31 & 43 & 64 & -56.699 & 5.86 & 57 & 43 & 52 & -13.095 \\37Realized EGARCH(1,1)-t & 1.21 & 15 & 19 & 22 & 0.896 & 5.44 & 30 & 19 & 30 & 0.977 \\38Realized GARCH(1,1), log-linear-t & 1.25 & 25 & 42 & 48 & 0.875 & 5.47 & 15 & 25 & 35 & 0.985 \\39Realized-measure random walk & 1.10 & 2 & 2 & 33 & -0.249 & 5.07 & 5 & 12 & 64 & 0.943 \\40MS-GARCH(2)-t & 1.40 & 50 & 50 & 67 & 1.008 & 5.60 & 22 & 28 & 39 & 0.999 \\41Smooth-transition GARCH-t & 1.40 & 49 & 46 & 51 & 0.985 & 5.87 & 51 & 51 & 46 & 1.008 \\42Beta-t-EGARCH-t & 1.40 & 46 & 51 & 70 & 0.980 & 5.69 & 43 & 43 & 46 & 1.004 \\43GAS-t(1,1) / Beta-t-GARCH-t & 1.40 & 46 & 49 & 69 & 1.014 & 5.84 & 51 & 38 & 49 & 0.988 \\44GARCH(1,1)-GED & 1.38 & 48 & 43 & 48 & 1.009 & 5.19 & 17 & 21 & 26 & 0.997 \\45GARCH(1,1)-N & 1.84 & 90 & 86 & 93 & 1.067 & 5.12 & 21 & 21 & 26 & 1.031 \\46GARCH(1,1)-skt & 1.21 & 10 & 17 & 33 & 0.983 & 5.33 & 14 & 19 & 36 & 0.997 \\47\bottomrule48\end{tabular}49