Table 9 Back-testing results.
From: Interest rate risk of Chinese commercial banks based on the GARCH-EVT model
LR0.01 | 0.776 |
EE/AE | 7.5/10 |
Decision | Fail to reject H0 |
LR0.05 | 3.465 |
EE/AE | 37.4/49 |
Decision | Fail to reject H0 |
LR0.1 | 9.294 |
EE/AE | 74.8/101 |
Decision | Reject H0 |
LRC,0.01 | 1.047 |
Decision | Fail to reject H0 |
LRC,0.05 | 4.062 |
Decision | Fail to reject H0 |
LRC,0.1 | 9.306 |
Decision | Reject H0 |
