Table 7 Estimation of VaR after one day based on AR(1)-EGARCH(1,1)-GED model.

From: Interest rate risk of Chinese commercial banks based on the GARCH-EVT model

VaR0.01

−0.5351

VaR0.025

−0.3779

VaR0.05

−0.2700

VaR0.10

−0.1726

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