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Table 1: Name of countries and the corresponding indices along with other relevant information

Country Name of Indices Short forms of Indices

In-sample Observations

Out – of - sample

Observations

Total Observations

India S&P CNX Nifty Index Nifty 2,222 685 2,907Japan Nikkei 225 Index Nikkei 2,171 678 2,849Korea KOSPI Comp Index KOSPI 2,230 680 2,910Hong Kong Hang Seng Index HSI 1,968 676 2,644Singapore FT Straits Times Index STI 2,208 694 2,902UK FTSE 100 Index FTSE 2,259 700 2,959

GermanyDeutsche Boerse AG German Stock Index

DAX 2,284 702 2,986

France CAC 40 Index CAC40 2,301 707 3,008Netherland AEX Index AEX 2,301 707 3,008Switzerland Swiss Market Index SSMI 2,259 691 2,950US S&P 500 Index SPX 2,254 695 2,949Brazil Bovespa Index Ibov 2,201 685 2,886Australia All Ordinaries Index AOI 2,252 683 2,935

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Table 2: Descriptive Statistics of original returns (Full sample from January 01, 2003 to October 08, 2014)

Total Obs.

Mean Std. Dev.

Skewness Kurtosis Jarque-Bera

Q(10) Q2 (10)

India 2,907 0.00 0.02 -0.24 10.0212216.64

(0.00)32.12(0.00)

478.17(0.00)

Japan 2,849 0.00 0.02 -0.60 7.937645.43(0.00)

7.43(0.49)

2073.25(0.00)

Korea 2,910 0.00 0.01 -0.52 6.675535.49(0.00)

10.17(0.25)

1434.34(0.00)

Hong Kong 2,644 0.00 0.02 -2.51 64.26458379.60

(0.00)67.79(0.00)

515.93(0.00)

Singapore 2,902 0.00 0.01 -1.19 21.5356849.46

(0.00)14.32(0.07)

318.47(0.00)

UK 2,959 0.00 0.01 -0.16 8.749439.47(0.00)

39.16(0.00)

1647.21(0.00)

Germany 2,986 0.00 0.01 0.10 7.557107.21(0.00)

17.29(0.03)

1120.68(0.00)

France 3,008 0.00 0.01 0.01 6.184790.89(0.00)

36.38(0.00)

1427.08(0.00)

Netherland 3,008 0.00 0.01 -0.14 7.957938.55(0.00)

47.62(0.00)

1836.14(0.00)

Switzerland 2,950 0.00 0.01 -0.04 7.657206.64(0.0000)

49.54(0.00)

2253.01(0.00)

US 2,949 0.00 0.01 -0.29 10.6213937.06 (0.0000)

58.75 (0.00)

2219.14 (0.00)

Brazil 2,886 0.00 0.02 -0.28 5.553751.52(0.0000)

29.33(0.00)

1429.19(0.00)

Australia 2,935 0.00 0.01 -0.64 5.944527.06(0.0000)

11.84(0.16)

1628.22(0.00)

Note: The table reports summary statistics for the daily stock market returns (r t) of the thirteen countries. The p values are given in the parentheses which indicate that the L-jung box Q and Q2 statistics are significant at better than 5% level except Q(10) for Japan, Korea, Singapore and Australia.

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Table 3A: Parameter estimates for the mean of ARMA-GARCH model (In-sample from January 01, 2003 to December 31, 2012)

Model Fitted a0 a1 a2 a3 b1 b2 b3

India

ARMA(1,1) - G(1,1)0.0016

(0.0000)-0.4266(0.0400)

0.5115(0.0096)

ARMA(1,1) - EG(1,1)0.0011

(0.0001)-0.3851(0.0000)

0.4786(0.0000)

ARMA(1,1) - RG(1,1)0.0008

(0.0010)-0.8634(0.0000)

0.8861(0.0000)

Japan

ARMA(1,1) - G(1,1)0.0008

(0.0005)0.7448

(0.0074)-0.7648(0.0044)

ARMA(1,1) - EG(1,1)0.0005

(0.0585)0.1210

(0.2114)-0.1429(0.1415)

ARMA(1,1) - RG(1,1)0.0005

(0.0303)0.4735

(0.0087)-0.5448(0.0014)

Korea

ARMA(0,0) - G(1,1)0.0014

(0.0000)

ARMA(0,0) - EG(2,1)0.0010

(0.0000)

ARMA(0,0) - RG(1,1)0.0009

(0.0001)

Hong Kong

ARMA(3,3) - G(1,1)0.0008

(0.0003)0.1053

(0.0000)-0.1924(0.0000)

-0.8141(0.0000)

-0.0912(0.0000)

0.1777(0.0000)

0.8437(0.0000)

ARMA(3,3) - EG(1,1)0.0007

(0.0000)-1.3625(0.0000)

-0.3587(0.0000)

0.2415(0.0794)

1.3720(0.0000)

0.3728(0.0000)

-0.2201(0.1007)

ARMA(3,3) - RG(1,1)0.0007

(0.0007)-0.8394(0.0027)

0.5448(0.2167)

0.7305(0.0023)

0.8307(0.0028)

-0.5686(0.1896)

-0.7231(0.0020)

Singapore

ARMA(1,1) - G(1,1)0.0008

(0.0000)-0.6586(0.0019)

0.6929(0.0007)

ARMA(1,1) - EG(1,1)0.0007

(0.0000)-0.6691(0.0000)

0.7059(0.0000)

ARMA(1,1) - RG(1,1)0.0006

(0.0004)-0.7218(0.0027)

0.7405(0.0015)

UK

ARMA(0,0) - G(1,1)0.0006

(0.0003)

ARMA(0,0) - EG(1,1)0.0002

(0.0380)

ARMA(0,0) - RG(1,1)0.0003

(0.0834)

Germany

ARMA(0,0) - G(1,1)0.0010

(0.0000)

ARMA(0,0) - EG(1,1)0.0005

(0.0002)

ARMA(0,0) - RG(1,1)0.0006

(0.0042)

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Table 3A: Parameter estimates for the mean of ARMA-GARCH model (In-sample from January 01, 2003 to December 31, 2012) – (continued)

Model Fitted a0 a1 a2 a3 b1 b2 b3

France

ARMA(0,0) - G(2,1)0.0007

(0.0011)

ARMA(0,0) - EG(1,1)0.0002

(0.3304)

ARMA(0,0) - RG(1,1)0.0002

(0.2413)

Netherland

ARMA(0,0) - G(1,1)0.0006

(0.0096)

ARMA(0,0) - EG(1,1)0.0002

(0.1384)

ARMA(0,0) - RG(1,1)0.0003

(0.1689)

Switzerland

ARMA(0,0) - G(1,1)0.0006

(0.0002)

ARMA(0,0) - EG(1,1)0.0003

(0.0213)

ARMA(0,0) - RG(1,1)0.0003

(0.1407)

US

ARMA(1,1) - G(2,1)0.0007

(0.0000)0.7296(0.000)

-0.7902(0.0000)

ARMA(1,1) - EG(2,1)0.0006

(0.0000)0.3617

(0.0000)-0.4308(0.0000)

ARMA(1,1) - RG(2,1)0.0005

(0.0015)0.2244

(0.0075)-0.3279(0.0211)

Brazil

ARMA(0,0) - G(1,1)0.0013

(0.0001)

ARMA(0,0) - EG(1,1)0.0009

(0.0021)

ARMA(0,0) - RG(1,1)0.0010

(0.0028)

Australia

ARMA(0,0) - G(1,1)0.0008

(0.0000)

ARMA(0,0) - EG(1,1)0.0005

(0.0000)

ARMA(0,0) - RG(1,1)0.0006

(0.0000)Note: The table reports parameter estimates for the mean equation of ARMA-GARCH fitted model across thirteen indices. The p values are given in the parentheses which indicate whether the coefficients of mean equations are significant or not. G(1,1), EG(1,1) and RG(1,1) denote GARCH(1,1), EGARCH(1,1) and Realized GARCH(1,1) respectively.

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Table 3B: Parameter estimates for the variance of ARMA-GARCH model (In-sample from January 01, 2003 to December 31, 2012)

Model Fitted ω α1 α2 γ1 γ2 β1 ξ φ σu τ1 τ2

India

ARMA(1,1) - G(1,1)

0.00(0.02)

0.13(0.00)

0.85(0.00)

ARMA(1,1) - EG(1,1)

-0.46(0.00)

-0.15(0.00)

0.25(0.00)

0.95(0.00)

ARMA(1,1) - RG(1,1)

-0.05(0.74)

0.47(0.00)

0.50(0.00)

-0.88(0.00)

0.95(0.00)

0.47(0.00)

-0.17(0.00)

0.07(0.00)

Japan

ARMA(1,1) - G(1,1)

0.00(0.22)

0.09(0.00)

0.90(0.00)

ARMA(1,1) - EG(1,1)

-0.24(0.00)

-0.10(0.00)

0.18(0.00)

0.97(0.00)

ARMA(1,1) - RG(1,1)

-0.29(0.04)

0.33(0.00)

0.60(0.00)

-0.14(0.73)

1.09(0.00)

0.46(0.00)

-0.09(0.00)

0.09(0.00)

Korea

ARMA(0,0) - G(1,1)

0.00(0.15)

0.08(0.00)

0.90(0.00)

ARMA(0,0) - EG(2,1)

-0.27(0.00)

-0.28(0.00)

0.16(0.00)

-0.12(0.02)

0.28(0.00)

0.97(0.00)

ARMA(0,0) - RG(1,1)

0.12(0.53)

0.46(0.00)

0.52(0.00)

-1.06(0.00)

0.96(0.00)

0.43(0.00)

-0.18(0.00)

0.02(0.00)

Hong Kong

ARMA(3,3) - G(1,1)

0.00(0.75)

0.07(0.24)

0.92(0.00)

ARMA(3,3) - EG(1,1)

-0.13(0.00)

-0.06(0.00)

0.15(0.00)

0.99(0.00)

ARMA(3,3) - RG(1,1)

1.07(0.00)

0.39(0.00)

0.69(0.00)

-3.29(0.00)

0.75(0.00)

0.46(0.00)

-0.11(0.00)

0.04(0.00)

Singapore

ARMA(1,1) - G(1,1)

0.00(0.73)

0.10(0.09)

0.89(0.00)

ARMA(1,1) - EG(1,1)

-0.14(0.00)

-0.05(0.00)

0.18(0.00)

0.98(0.00)

ARMA(1,1) - RG(1,1)

1.10(0.00)

0.42(0.00)

0.66(0.00)

-3.12(0.00)

0.75(0.00)

0.41(0.00)

-0.08(0.00)

-0.00(0.43)

UK

ARMA(0,0) - G(1,1)

0.00(0.39)

0.08(0.00)

0.91(0.00)

ARMA(0,0) - EG(1,1)

-0.10(0.00)

-0.12(0.00)

0.10(0.00)

0.99(0.00)

ARMA(0,0) - RG(1,1)

0.07(0.08)

0.39(0.00)

0.59(0.00)

-0.64(0.01)

0.99(0.00)

0.44(0.00)

0.15(0.00)

0.08(0.00)

Germany

ARMA(0,0) - G(1,1)

0.00(0.70)

0.08(0.09)

0.91(0.00)

ARMA(0,0) - EG(1,1)

-0.15(0.00)

-0.12(0.00)

0.12(0.00)

0.98(0.00)

ARMA(0,0) - RG(1,1)

0.03(0.79)

0.42(0.00)

0.56(0.00)

-0.57(0.02)

0.98(0.00)

0.43(0.00)

-0.15(0.00)

0.10(0.00)

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Table 3B: Parameter estimates for the variance of ARMA-GARCH model (In-sample from January 01, 2003 to December 31, 2012) – (continued)

Model Fitted

ω α1 α2 γ1 γ2 β1 ξ φ σu τ1 τ2

France

ARMA(0,0) - G(2,1)

0.00(0.39)

0.02(0.34)

0.09(0.04)

0.88(0.00)

ARMA(0,0) - EG(1,1)

-0.17(0.00)

-0.15(0.00)

0.11(0.00)

0.98(0.00)

ARMA(0,0) - RG(1,1)

-0.01(0.95)

0.38(0.00)

0.59(0.00)

-0.49(0.05)

1.00(0.00)

0.46(0.00)

-0.14(0.00)

0.09(0.00)

Netherland

ARMA(0,0) - G(1,1)

0.00(0.87)

0.09(0.45)

0.90(0.00)

ARMA(0,0) - EG(1,1)

-0.12(0.00)

-0.13(0.00)

0.11(0.00)

0.99(0.00)

ARMA(0,0) - RG(1,1)

0.25(0.03)

0.42(0.00)

0.58(0.00)

-1.07(0.00)

0.94(0.00)

0.45(0.00)

-0.16(0.00)

0.08(0.00)

Switzerland

ARMA(0,0) - G(1,1)

0.00(0.45)

0.11(0.00)

0.88(0.00)

ARMA(0,0) - EG(1,1)

-0.19(0.00)

-0.14(0.00)

0.13(0.00)

0.98(0.00)

ARMA(0,0) - RG(1,1)

-0.02(0.91)

0.43(0.00)

0.55(0.00)

-0.44(0.16)

1.01(0.00)

0.36(0.00)

-0.13(0.00)

0.06(0.00)

US

ARMA(1,1) - G(2,1)

0.00(0.60)

0.00(0.99)

0.12(0.00)

0.87(0.00)

ARMA(1,1) - EG(2,1)

-0.12(0.00)

-0.27(0.00)

0.17(0.00)

-0.23(0.00)

0.36(0.00)

0.99(0.00)

ARMA(1,1) - RG(2,1)

0.16(0.23)

0.42(0.00)

0.00(1.00)

0.58(0.00)

-0.95(0.00)

0.94(0.00)

0.48(0.00)

-0.09(0.00)

0.11(0.00)

Brazil

ARMA(0,0) - G(1,1)

0.00(0.08)

0.07(0.00)

0.91(0.00)

ARMA(0,0) - EG(1,1)

-0.18(0.00)

-0.08(0.00)

0.13(0.00)

0.98(0.00)

ARMA(0,0) - RG(1,1)

-0.69(0.00)

0.35(0.00)

0.55(0.00)

0.69(0.09)

1.13(0.00)

0.48(0.00)

-0.09(0.00)

0.11(0.00)

Australia

ARMA(0,0) - G(1,1)

0.00(0.47)

0.08(0.00)

0.92(0.00)

ARMA(0,0) - EG(1,1)

-0.13(0.00)

-0.09(0.00)

0.14(0.00)

0.99(0.00)

ARMA(0,0) - RG(1,1)

0.33(0.00)

0.28(0.00)

0.73(0.00)

-1.61(0.00)

0.92(0.00)

0.50(0.00)

-0.02(0.12)

0.18(0.00)

Note: The table reports parameter estimates for the variance equation of ARMA-GARCH fitted model across thirteen indices. The p values are given in the parentheses which indicate whether the coefficients of variance equations are significant or not. G(1,1), EG(1,1) and RG(1,1) denote GARCH(1,1), EGARCH(1,1) and Realized GARCH(1,1) respectively

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Table 4: Diagnostic statistics of returns and ARMA-GARCH standardized residuals (In-sample from January 01, 2003 to December 31, 2012)

Series Skewness Kurtosis Jarque Bera Q(10) Q2 (10)India Return -0.24 9.00 7540.29 (0.00) 28.38 (0.00) 332.58 (0.00)

G-Std Res -0.16 3.99 839.11 (0.00) 10.02 (0.07) 3.09 (0.68)EG-Std Res -0.08 4.84 1368.53 (0.00) 9.36 (0.10) 2.38 (0.79)RG-Std Res -0.22 3.75 718.54 (0.00) 25.57 (0.00) 4.21 (0.52)

Japan Return -0.59 8.50 6682.92 (0.00) 9.62 (0.29) 1701.44 (0.00)G-Std Res -0.53 4.27 247.66 (0.00) 8.31 (0.14) 11.03 (0.05)

EG-Std Res -0.44 3.89 140.68 (0.00) 6.65 (0.25) 2.37 (0.80)RG-Std Res -0.60 3.82 430.91 (0.00) 9.29 (0.10) 32.48 (0.01)

Korea Return -0.52 5.62 3041.29 (0.00) 8.84 (0.36) 1016.69 (0.00)G-Std Res -0.42 3.78 122.41 (0.00) 2.79 (0.73) 10.11 (0.07)


Hong Kong Return -2.47 56.7 266158.30 (0.00) 59.95 (0.00) 376.19 (0.00)G-Std Res -0.80 5.76 2939.37 (0.00) 1.37 (0.24) 5.70 (0.33)


Singapore Return -1.15 18.45 31856.19 (0.00) 11.45 (0.18) 218.85 (0.00)G-Std Res -1.35 16.51 25793.84 (0.00) 4.31 (0.51) 0.82 (0.98)


UK Return -0.15 7.94 5962.72 (0.00) 41.41(0.00) 1213.54 (0.00)G-Std Res -0.33 3.64 78.98 (0.00) 2.19 (0.82) 7.37 (0.19)


Germany Return 0.13 7.20 4952.11 (0.00) 15.39 (0.05) 838.15 (0.00)G-Std Res -0.37 4.16 182.19 (0.00) 4.73 (0.45) 10.83 (0.05)


7

Series Skewness Kurtosis Jarque Bera Q(10) Q2 (10)France Return 0.02 6.09 3563.49 (0.00) 35.59 (0.00) 1095.28 (0.00)

G-Std Res -0.24 3.88 97.08 (0.00) 4.94 (0.42) 5.95 (0.31)EG-Std Res -0.28 3.46 50.05 (0.00) 7.16 (0.21) 9.53 (0.09)RG-Std Res -0.26 3.45 45.05 (0.00) 6.08 (0.30) 2.13 (0.83)

Netherland Return -0.12 7.01 4724.48 (0.00) 40.62 (0.00) 1345.98 (0.00)G-Std Res -0.29 3.69 77.18 (0.00) 8.06 (0.15) 6.60 (0.25)


Switzerland Return -0.01 6.97 4585.93 (0.00) 48.74 (0.00) 1698.05 (0.00)G-Std Res -0.42 4.00 161.94 (0.00) 4.85 (0.44) 2.12 (0.83)


US Return -0.26 9.25 8085.03 (0.00) 50.51 (0.00) 1640.27 (0.00)G-Std Res -0.54 4.49 319.66 (0.00) 5.16 (0.40) 5.30 (0.38)


Brazil Return -0.33 5.40 2725.17 (0.00) 29.92 (0.00) 1078.06 (0.00)G-Std Res -0.35 3.99 136.92 (0.00) 6.41 (0.27) 9.06 (0.11)


Australia Return -0.64 5.55 3048.63 (0.00) 12.63 (0.13) 1214.12 (0.00)G-Std Res -0.48 4.14 208.29 (0.00) 6.07 (0.30) 9.59 (0.09)


Note: The table reports summary statistics for the in-sample returns and standardized residuals from the fitted ARMA-GARCH models with skewed Student-t distribution governing the error terms. The latter are the basis of the EVT estimation. The p values of L-jung box Q(10) and Q2(10) statistics are given in the parentheses. G-Std Res, EG-Std Res and RG-Std Res denote the standardised residuals of GARCH, EGARCH and Realized GARCH models respectively.

8

Table 5: Parameter estimates for the ARMA-GARCH-EVT called Conditional EVT model (In-sample from January 01, 2003 to December 31, 2012)

n Models u kk/n(%)

ξ ψVaR(Z) ES

0.95 0.99 0.995 0.95 0.99 0.995

India 2,222

G - EVT 1.177 244 10.9-0.012(0.17)

0.695(10.45)

1.721 2.819 3.285 2.401 3.486 3.947

EG - EVT 1.182 240 10.80.049(0.65)

0.626(10.08)

1.673 2.762 3.258 2.357 3.501 4.022

RG - EVT 1.160 248 11.50.046(0.62)

0.629(10.30)

1.674 2.763 3.258 2.357 3.499 4.017

Japan 2,171

G - EVT 1.331 234 10.80.090(1.34)

0.538(10.75)

1.759 2.757 3.233 2.392 3.489 4.013

EG - EVT 1.272 241 11.10.025(0.41)

0.575(11.13)

1.736 2.700 3.128 2.338 3.328 3.767

RG - EVT 1.296 229 10.60.054(0.95)

0.592(11.52)

1.747 2.783 3.258 2.398 3.493 3.995

Korea 2,230

G - EVT 1.278 250 11.2-0.139(-2.98)

0.753(12.83)

1.853 2.823 3.178 2.444 3.295 3.607

EG - EVT 1.300 241 10.8-0.076(-1.10)

0.673(10.68)

1.803 2.764 3.144 2.393 3.286 3.693

RG - EVT 1.301 237 10.6-0.062(-1.02)

0.674(11.29)

1.798 2.784 3.180 2.404 3.334 3.706

Hong Kong

1,968

G - EVT 1.275 184 9.40.175(2.28)

0.561(9.45)

1.647 2.812 3.424 2.406 3.819 4.562

EG - EVT 1.216 190 9.70.129(1.83)

0.607(9.95)

1.633 2.814 3.403 2.391 3.746 4.422

RG - EVT 1.205 194 9.90.131(1.86)

0.603(10.05)

1.632 2.812 3.401 2.390 3.747 4.425

Singapore 2,208

G - EVT 1.182 244 11.10.102(2.07)

0.604(12.38)

1.680 2.826 3.380 2.410 3.686 4.304

EG - EVT 1.199 236 10.70.101(2.00)

0.590(12.29)

1.665 2.779 3.317 2.374 3.612 4.210

RG - EVT 1.124 254 11.50.156(2.99)

0.597(12.44)

1.656 2.899 3.539 2.461 3.935 4.692

UK 2,259

G - EVT 1.309 226 10.0-0.140(-2.77)

0.729(12.15)

1.791 2.745 3.094 2.372 3.209 3.515

EG - EVT 1.339 219 9.7-0.144(-2.45)

0.679(11.24)

1.767 2.654 2.977 2.307 3.082 3.364

RG - EVT 1.272 238 10.5-0.215(-4.72)

0.744(12.82)

1.784 2.645 2.934 2.305 3.014 3.251

Germany 2,284

G - EVT 1.473 185 8.1-0.019(-0.36)

0.621(11.08)

1.771 2.745 3.156 2.374 3.330 3.733

EG - EVT 1.399 202 8.8-0.074(-1.42)

0.645(11.39)

1.759 2.696 3.067 2.334 3.207 3.552

RG - EVT 1.449 196 8.6-0.072(-1.40)

0.62(11.44)

1.776 2.678 3.036 2.330 3.171 3.504

9

Table 5: Parameter estimates for the ARMA-GARCH-EVT called Conditional EVT model (In-sample from January 01, 2003 to December 31, 2012)

n Models u kk/n(%)

ξ ψVaR(Z) ES

0.95 0.99 0.995 0.95 0.99 0.995

France 2,301

G - EVT 1.333 228 9.9-0.087(-1.98)

0.667(12.59)

1.776 2.720 3.088 2.355 3.223 3.560

EG - EVT 1.263 243 10.6-0.129(-3.03)

0.686(13.07)

1.752 2.656 2.992 2.303 3.104 3.401

RG - EVT 1.271 245 10.7-0.126(-2.58)

0.667(12.53)

1.752 2.635 2.964 2.290 3.075 3.368

Netherland 2,301

G - EVT 1.273 248 10.8-0.123(-1.98)

0.701(11.31)

1.787 2.717 3.064 2.354 3.182 3.491

EG - EVT 1.224 257 11.2-0.137(-2.40)

0.689(11.88)

1.748 2.640 2.968 2.291 3.076 3.364

RG - EVT 1.209 264 11.5-0.132(-2.34)

0.685(12.04)

1.747 2.637 2.966 2.289 3.075 3.366

Switzerland 2,259

G - EVT 1.183 267 11.8-0.049(-0.96)

0.702(12.53)

1.774 2.815 2.239 2.416 3.407 3.811

EG - EVT 1.197 262 11.6-0.068(-1.41)

0.668(12.77)

1.744 2.707 3.090 2.335 3.237 3.596

RG - EVT 1.151 275 12.2-0.081(-1.82)

0.694(13.37)

1.747 2.720 3.102 2.343 3.244 3.597

US 2,254

G - EVT 1.297 242 10.7-0.016(-0.31)

0.669(12.26)

1.805 2.856 3.300 2.456 3.490 3.928

EG - EVT 1.256 235 10.4-0.058(-1.13)

0.758(12.03)

1.802 2.918 3.367 2.488 3.543 3.967

RG - EVT 1.235 239 10.6-0.065(1.31)

0.772(12.27)

1.802 2.925 3.374 2.492 3.547 3.968

Brazil 2,201

G - EVT 1.286 223 10.1-0.031(-0.46)

0.653(10.59)

1.742 2.746 3.163 2.362 3.335 3.740

EG - EVT 1.244 230 10.5-0.042(-0.71)

0.660(11.27)

1.723 2.719 3.127 2.337 3.292 3.684

RG - EVT 1.294 216 9.6-0.029(-0.45)

0.640(10.72)

1.722 2.709 3.121 2.332 3.292 3.692

Australia 2,252

G - EVT 1.396 203 9.0-0.009(-0.16)

0.058(11.01)

1.777 2.807 3.246 2.416 3.437 3.872

EG - EVT 1.355 215 9.5-0.033(-0.59)

0.056(11.32)

1.753 2.706 3.101 2.341 3.264 3.646

RG - EVT 1.285 230 10.2-0.014(-0.25)

0.648(11.37)

1.746 2.766 3.198 2.378 3.383 3.809

Note: The table reports in-sample ML estimates of the GPD for the ARMA-GARCH-EVT model. n - total number of observations, u – threshold calculated, k - number of observations exceeding threshold u, k/n - % of exceedences, ξ - the shape parameter, ψ - the scale parameter The t statistics are given in the parenthesis in columns 7 and 8. It may be noted that ξ value is significant for 50% of the countries and insignificant for another 50% of the countries. G-EVT, EG-EVT and RG-EVT denote GARCH-EVT, EGARCH-EVT and Realized GARCH-EVT respectively.

10

Table 6: Statistics of Binomial Test

Garch Egarch Realised Garch

Garch EVT

Egarch EVT

Realised Garch EVT

α = 5%

India-1.271001(0.1019)

-2.147554(0.0159)*

1.709277(0.0437)*

-1.796933(0.0362)*

-2.147554(0.0159)*

1.183346(0.1183)

Japan-0.158592(0.4370)

-0.334805(0.3689)

0.546261(0.2924)

-0.334805(0.3689)

-1.392084(0.0819)

-0.334805(0.3689)

Korea-0.175954(0.4302)

-0.879769(0.1895)

2.463354(0.0069)**

-1.055723(0.1455)

-2.287400(0.0111)*

0.879769(0.1895)

Hong Kong0.388242(0.3489)

0.388242(0.3489)

0.741189(0.2293)

0.211768(0.4161)

0.388242(0.3489)

1.094137(0.1369)

Singapore0.923101(0.1780)

0.923101(0.1780)

1.968121(0.0245)*

0.400591(0.3444)

0.400591(0.3444)

1.445611(0.0741)

UK1.560798(0.0593)

-0.346844(0.3644)

1.387376(0.0827)

-0.520266(0.3014)

-1.040532(0.1490)

0.000000(0.5000)

Germany0.502207(0.3078)

-0.536842(0.2957)

2.407129(0.0080)**

-0.363667(0.3581)

-1.229541(0.1094)

1.194906(0.1161)

France0.284726(0.3879)

0.457288(0.3237)

0.457288(0.3237)

-0.750642(0.2264)

-0.923203(0.1780)

-0.405519(0.3425)

Netherland0.802410(0.2112)

-0.232958(0.4079)

0.284726(0.3879)

-0.232958(0.4079)

-0.923203(0.1780)

-0.750642(0.2264)

Switzerland0.602190(0.2735)

0.253094(0.4001)

0.776737(0.2187)

0.253094(0.4001)

0.078546(0.4687)

-0.096001(0.4618)

US0.739690(0.2297)

0.043511(0.4826)

1.435869(0.0755)

-0.304578(0.3803)

-0.652668(0.2570)

0.217556(0.4139)

Brazil-1.271001(0.1019)

-1.446312(0.0740)

-1.095691(0.1366)

-1.095691(0.1366)

-0.920380(0.1787)

-1.271001(0.1019)

Australia0.324799(0.3727)

-0.904170(0.1830)

-0.377469(0.3529)

-0.904170(0.1830)

-1.606438(0.0541)

-1.079737(0.1401)

α = 1%

India0.825611(0.2045)

-0.326404(0.3721)

1.593622(0.0555)

-1.478420(0.0696)

-0.710410(0.2387)

0.057601(0.4770)

Japan2.014828(0.0220)*

2.400811(0.0082)**

1.242863(0.1070)

-1.073031(0.1416)

0.084916(0.4662)

-1.459014(0.0723)

Korea0.077083(0.4693)

-1.464575(0.0715)

3.160398(0.0008)**

-1.849989(0.0322)*

-2.235404(0.0127)*

0.077083(0.4693)

Hong Kong1.638985(0.0506)

2.412091(0.0079)

1.25243(0.1052)

-1.066886(0.1430)

-1.839992(0.0329)*

-0.293780(0.3845)

Singapore0.785905(0.2160)

0.022890(0.4909)

1.167412(0.1215)

-0.740124(0.2296)

-1.121631(0.1310)

-0.358617(0.3599)

UK1.899343(0.0288)*

2.279212(0.0113)*

2.659080(0.0039)**

-0.759737(0.2237)

-0.379869(0.3520)

1.519474(0.0643)

Germany2.268376(0.0117)*

1.509722(0.0656)

3.785684(0.0001)**

-0.386914(0.3494)

0.371741(0.3550)

0.751068(0.2263)

France2.241441(0.0125)*

2.619425(0.0044)**

2.241441(0.0125)*

-0.026459(0.4894)

-0.026459(0.4894)

-0.026459(0.4894)

Netherland3.753375

(0.0001)**2.997408

(0.0014)**3.753375

(0.0001)**1.107491(0.1340)

0.729508(0.2328)

1.485475(0.0687)

Switzerland3.093085

(0.0010)**3.093085

(0.0010)**3.093085

(0.0010)**0.799079(0.2121)

1.181413(0.1187)

1.563748(0.0589)

US3.831387

(0.0001)**3.450155

(0.0003)**4.593853

(0.0000)**-0.362171(0.3586)

0.019062(0.4924)

1.162759(0.1225)

Brazil0.825611(0.2045)

-1.478420(0.0696)

-0.710410(0.2387)

-0.710410(0.2387)

-0.710410(0.2387)

-1.094415(0.1369)

Australia2.757346

(0.0029)**1.219077(0.1114)

1.219077(0.1114)

0.065376(0.4739)

-0.319191(0.3748)

-0.703758(0.2408)

11

Table 6: Statistics of Binomial Test – (continued)

Garch Egarch Realised Garch

Garch EVT

Egarch EVT

Realised Garch EVT

α = 0.5%

India0.311477(0.3777)

0.853176(0.1968)

1.936575(0.0264)*

-1.313620(0.0945)

-1.313620(0.0945)

0.311477(0.3777)

Japan1.965603(0.0247)*

1.965603(0.0247)*

1.42115(0.0776)

-0.212350(0.4159)

-0.756839(0.2246)

-0.756839(0.2246)

Korea-0.217475(0.4139)

-0.761162(0.2233)

4.132022(0.0000)**

-0.761162(0.2233)

-1.304849(0.0960)

-0.217475(0.4139)

Hong Kong1.428668(0.0765)

0.883375(0.1885)

1.428668(0.0765)

-1.843091(0.0327)*

-1.297798(0.0972)

-0.752505(0.2259)

Singapore1.899759(0.0287)*

1.361583(0.0867)

2.437934(0.0074)**

-0.252942(0.4002)

-0.791118(0.2144)

-0.252942(0.4002)

UK2.411387

(0.0079)**2.411387

(0.0079)**4.018979

(0.0000)**-0.267932(0.3944)

-0.267932(0.3944)

1.875523(0.0304)*

Germany2.937699

(0.0017)**2.402599

(0.0081)**4.007899

(0.0000)**1.332399(0.0914)

1.332399(0.0914)

0.797299(0.2126)

France3.447167

(0.0003)**3.447167

(0.0003)**2.380758

(0.0086)**1.314349(0.0944)

1.314349(0.0944)

0.781144(0.2174)

Netherland3.980371

(0.0000)**3.447167

(0.0003)**3.980371

(0.0000)**0.781144(0.2174)

0.781144(0.2174)

1.314349(0.0944)

Switzerland3.529995

(0.0002)**5.148022

(0.0000)**4.608679

(0.0000)**0.293942(0.3844)

0.833284(0.2023)

0.833284(0.2023)

US4.584642

(0.0000)**3.509066

(0.0002)**5.660218

(0.0000)**-0.255449(0.3992)

-1.331025(0.0916)

0.282339(0.3888)

Brazil-0.230222(0.4090)

-0.771921(0.2201)

-0.771921(0.2201)

-0.230222(0.4090)

0.311477(0.3777)

-0.771921(0.2201)

Australia3.029816

(0.0012)**1.944833(0.0259)*

1.944833(0.0259)*

-0.767626(0.2214)

-0.225134(0.4109)

-0.767626(0.2214)

No. of Rejections

17 15 21 3 4 1

Note: The table presents binomial test statistics VaR violation ratio under each competing approach. p values are given in the parentheses. The asterisks (*) and (**) denote significance at 5% and 1% level, respectively.

12

Table 7: Statistical tests of unconditional coverageGarch Egarch Realised

GarchGarch EVT Egarch EVT Realised

Garch EVTα = 5%

India 1.736590 5.252825* 2.691087 3.590236 5.252825* 1.320870Japan 0.025365 0.114136 0.290159 0.114136 2.099940 0.114136Korea 0.031252 0.812848 5.410308* 1.182819 6.022673* 0.740487Hong Kong 0.147731 0.147731 0.529055 0.044352 0.147731 1.133542Singapore 0.813902 0.813902 3.529748 0.157222 0.157222 1.948528UK 1.297061 0.122536 1.799906 0.278335 1.146944 0.000000Germany 0.245891 0.296613 5.186426* 0.134830 1.619511 1.346990France 0.079901 0.204340 0.204340 0.586819 0.896442 0.168018Netherland 0.618753 0.054937 0.079901 0.054937 0.896442 0.586819Switzerland 0.351738 0.063225 0.580254 0.063225 0.006144 0.009263US 0.527218 0.001889 1.923285 0.094282 0.441332 0.046802Brazil 1.736590 2.273470 1.276841 1.276841 0.891579 1.736590Australia 0.103737 0.859697 0.145409 0.859697 2.834092 1.238856

α = 1%India 0.620390 0.111195 2.145674 2.767998 0.556935 0.003294Japan 3.303010 4.543096* 1.347632 1.350036 0.007135 2.689058Korea 0.005885 2.711548 7.434117** 4.739042* 7.815982** 0.005885Hong Kong 2.258112 4.580452* 1.366955 1.333539 4.682273* 0.089702Singapore 0.564793 0.000522 1.199315 0.606834 1.484503 0.134778UK 8.217084** 4.147118* 5.479067* 0.641044 0.151634 1.966805Germany 4.112443* 1.943741 10.255309** 0.157451 0.132236 0.517951France 4.026694* 5.338353* 4.026694* 0.000702 0.000702 0.000702Netherland 10.111547** 6.795877** 10.111547** 1.086775 0.489880 1.886873Switzerland 7.168468** 7.168468** 7.168468** 0.582981 1.226288 2.072866US 10.459553** 8.702667** 14.328776** 0.137525 0.000362 1.190409Brazil 0.620390 2.767998 0.556935 0.556935 0.556935 1.408326Australia 5.832814* 1.300093 1.300093 0.004239 0.106236 0.546081

α = 0.5%India 0.092028 0.637007 2.876106 2.396415 2.396415 0.092028Japan 2.950476 2.950476 1.641265 0.046920 0.672131 0.672131Korea 0.049258 0.680382 10.716326** 0.680382 2.360952 0.049258Hong Kong 1.656824 0.679527 1.656824 6.776957** 2.332660 0.663915Singapore 2.782654 1.520539 4.334374* 0.067066 0.739097 0.067066UK 2.201867 4.255994* 10.273963** 0.075455 0.075455 2.721678Germany 6.012218* 4.230133* 10.230748** 1.462608 1.462608 0.561399France 7.927034** 7.927034** 4.166052* 1.427202 1.427202 0.540299Netherland 10.123502** 7.927034** 10.123502** 0.540299 0.540299 1.427202Switzerland 8.227756** 15.496428** 12.898663** 0.082207 0.609629 0.609629US 12.799021** 8.151575** 18.127969** 0.068433 2.467659 0.075998Brazil 0.055330 0.701160 0.701160 0.055330 0.092028 0.701160Australia 6.318873* 2.897202 2.897202 0.692823 0.052862 0.692823No. of Violations

13 14 17 2 4 0

Note: The table presents statistical tests of unconditional coverage (uc) of the intraday VaR forecasts under each competing

approach. The test is asymptotically distributed as χ2

with d.f. one. The asterisks (*) and (**) denote significance at 5% and 1% level, respectively.

13

Table 8: Statistical tests of IndependenceGarch Egarch Realised


Garch EVTα = 5%

India 0.718815 0.115152 0.497178 1.264073 0.115152 0.127586Japan 0.290496 0.215076 0.696879 0.215076 0.000002 0.215076Korea 1.094194 0.053412 0.119769 0.023519 0.174459 0.029922Hong Kong 4.058487* 4.058487* 0.831391 3.830035 4.058487* 1.116415Singapore 1.172862 1.172862 2.641130 1.840133 1.840133 1.900805UK 0.352027 1.184989 1.946616 0.667342 2.130825 0.827684Germany 0.738203 0.177780 0.102853 0.245828 0.014065 0.099768France 0.605001 0.721469 0.001129 0.114631 0.069373 0.137674Netherland 0.244966 1.027116 0.563173 0.314155 0.388788 0.289901Switzerland 0.776331 0.541902 0.908187 0.541902 0.439594 0.347424US 0.353165 3.719504 0.066113 0.151949 3.029785 0.020211Brazil 0.718815 0.000149 0.021118 1.062241 0.030108 0.030108Australia 0.613892 0.444310 1.309308 0.444310 0.007992 2.321094

α = 1%India 0.240007 0.106196 0.359600 0.026432 0.073638 0.144759Japan 0.433106 0.509069 0.299861 0.047549 0.146271 0.026706Korea 0.145836 0.026627 0.677768 0.011817 0.002950 0.145836Hong Kong 0.364475 0.510607 0.300763 0.047690 0.011887 0.107625Singapore 0.236849 0.142860 0.292836 0.072675 0.046444 0.104805UK 0.104131 0.492741 0.572303 0.245583 0.103897 0.351759Germany 0.491308 0.350739 0.847595 0.103598 0.184708 0.234111France 0.487763 0.566513 0.487763 0.140203 0.140203 0.140203Netherland 0.838982 0.651281 0.838982 0.287366 0.232431 0.348216Switzerland 0.666722 0.666722 0.666722 0.237892 0.294128 0.356422US 0.853856 0.755232 1.069771 0.104652 0.302215 0.292408Brazil 8.965109** 0.026432 0.073638 0.011730 0.011730 0.011730Australia 0.586869 0.297630 0.297630 0.145188 0.106510 0.073856

α = 0.5%India 0.047059 0.073638 0.144759 0.002928 0.002928 0.047059Japan 0.146271 0.146271 0.107304 0.026706 0.011852 0.011852Korea 0.026627 0.011817 0.362292 0.011817 0.002950 0.026627Hong Kong 0.107625 0.074628 0.107625 0.000000 0.002967 0.011887Singapore 0.142860 0.104805 0.186866 0.026087 0.011577 0.026087UK 0.042096 0.185243 0.351759 0.094977 0.025862 0.141621Germany 0.234111 0.184708 0.351759 0.103598 0.103598 0.071840France 0.287366 0.287366 0.183385 0.102858 0.102858 0.071327Netherland 0.348216 0.287366 0.348216 0.071327 0.071327 0.102858Switzerland 0.294128 0.499292 0.424801 0.046647 0.072993 0.072993US 0.422309 0.292408 0.576511 0.026049 1.811445 0.046377Brazil 0.026432 0.011730 0.011730 0.002928 0.000000 0.011730Australia 0.240720 0.145188 0.145188 0.011765 0.026510 0.011765No. of Violations

2 1 0 0 1 0

Note: The table presents statistical test of independence (ind) of the intraday VaR forecasts under each competing approach.

The test is asymptotically distributed as χ2

with d.f. one. The asterisks (*) and (**) denote significance at 5% and 1% level, respectively.

14

Table 9: Statistical tests of Conditional CoverageGarch Egarch Realised


Garch EVTα = 5%

India 2.455405 5.367977 3.188265 4.854309 5.367977 1.448456Japan 0.315861 0.329212 0.987038 0.329212 2.099943 0.329212Korea 1.125446 0.866260 5.530077 1.206338 6.197131* 0.770409Hong Kong 4.206218 4.206218 1.360447 3.874387 4.206218 2.249957Singapore 1.986764 1.986764 6.170879* 1.997355 1.997355 3.849332UK 1.649088 1.307525 3.746522 0.945677 3.277769 0.827684Germany 0.984094 0.474393 5.289279 0.380658 1.633576 1.446759France 0.684902 0.925809 0.205469 0.701450 0.965815 0.305692Netherland 0.863719 1.082052 0.643074 0.369092 1.285230 0.876719Switzerland 1.128069 0.605127 1.488441 0.605127 0.445738 0.356687US 0.880383 3.721393 1.989397 0.246230 3.471116 0.067013Brazil 2.455405 2.273619 1.297959 2.339082 0.921687 1.766698Australia 0.717629 1.304007 1.454717 1.304007 2.842084 3.559950

α = 1%India 0.860397 0.217391 2.505274 2.794430 0.630573 0.148053Japan 3.736116 5.052165 1.647493 1.397585 0.153406 2.715765Korea 0.151721 2.738175 8.111885* 4.750859 7.818932* 0.151721Hong Kong 2.622587 5.091058 1.667719 1.381229 4.694160 0.197326Singapore 0.801642 0.143382 1.492151 0.679509 1.530948 0.239583UK 8.321215* 4.639859 6.051370* 0.886627 0.255532 2.318564Germany 4.603751 2.294481 11.102904** 0.261050 0.316944 0.752062France 4.514457 5.904866 4.514457 0.140905 0.140905 0.140905Netherland 10.950529** 7.447159* 10.950529** 1.374141 0.722312 2.235089Switzerland 7.835190* 7.835190* 7.835190* 0.820873 1.520416 2.429288US 11.313409** 9.457899** 15.398547** 0.242177 0.302578 1.482817Brazil 9.585500** 2.794430 0.630573 0.568665 0.568665 1.420057Australia 6.419683* 1.597723 1.597723 0.149427 0.212746 0.619937

α = 0.5%India 0.139087 0.710645 3.020865 2.399343 2.399343 0.139087Japan 3.096747 3.096747 1.748569 0.073626 0.683983 0.683983Korea 0.075885 0.692199 11.078618** 0.692199 2.363902 0.075885Hong Kong 1.764449 0.754154 1.764449 6.776957* 2.335627 0.675802Singapore 2.925514 1.625344 4.521240 0.093153 0.750675 0.093153UK 2.243964 4.441237 10.625722** 0.170432 0.101317 2.863299Germany 6.246328* 4.414841 10.582507** 1.566207 1.566207 0.633239France 8.214400* 8.214400* 4.349437 1.530060 1.530060 0.611626Netherland 10.471718** 8.214400* 10.471718** 0.611626 0.611626 1.530060Switzerland 8.521884* 15.995720** 13.323464** 0.128855 0.682622 0.682622US 13.221331** 8.443983* 18.704480** 0.094482 4.279103 0.122375Brazil 0.081762 0.712890 0.712890 0.058258 0.092028 0.712890Australia 6.559593* 3.042390 3.042390 0.704588 0.079372 0.704588No. of Violations

12 7 13 1 2 0

Note: The table presents statistical test of conditional coverage (cc) of the intraday VaR forecasts under each competing

approach. The test is asymptotically distributed as χ2

with d.f. two. The asterisks (*) and (**) denote significance at 5% and 1% level, respectively.

15

Table 10: Mean Error (ME) and Mean Absolute Error (MAE) of Expected Shortfall

Garch EVT Egarch EVT Realised Garch EVTME MAE ME MAE ME MAE

α = 5%India 0.001678 0.004855 0.001317 0.004505 0.000866 0.004173Japan 0.000064 0.005720 -0.002788 0.005327 0.000485 0.005747Korea 0.001761 0.003184 0.002844 0.003850 0.000272 0.002812Hong Kong 0.002016 0.003934 0.003006 0.004520 0.001948 0.004371Singapore 0.001395 0.003149 0.001539 0.003166 0.001533 0.003302UK 0.000585 0.002678 -0.000008 0.003020 -0.000593 0.002445Germany 0.000093 0.004106 -0.000602 0.004689 0.000735 0.003827France -0.000382 0.005058 -0.000782 0.005045 -0.000601 0.003677Netherland -0.000107 0.003541 -0.000649 0.003452 -0.001216 0.003295Switzerland 0.000396 0.003566 -0.000774 0.003398 -0.000330 0.003458US 0.000346 0.002856 0.000841 0.002961 -0.000280 0.002695Brazil 0.001422 0.003875 0.001986 0.003291 0.002144 0.003048Australia -0.000144 0.003151 -0.000330 0.003132 0.000649 0.003626

α = 1%India 0.001450 0.002907 0.005162 0.005162 -0.001529 0.003874Japan -0.004972 0.008378 -0.000127 0.011777 -0.007953 0.014409Korea -0.000384 0.000388 -0.001838 0.001838 0.001070 0.002283Hong Kong 0.007366 0.007366 0.003706 0.003706 0.004294 0.004552Singapore 0.002028 0.002829 0.000583 0.002204 0.002137 0.003264UK 0.000885 0.001006 -0.000978 0.002732 0.000050 0.001064Germany -0.001469 0.001851 -0.001461 0.003952 0.001336 0.002746France -0.003785 0.004847 -0.004322 0.005217 -0.001351 0.003051Netherland 0.000371 0.002572 -0.000550 0.002340 -0.000686 0.002409Switzerland 0.000948 0.002509 -0.000784 0.003112 0.000934 0.002104US 0.002142 0.002229 0.002611 0.002611 0.001390 0.002189Brazil 0.000768 0.000768 0.002509 0.002509 0.000045 0.000747Australia 0.000801 0.003140 -0.000304 0.004149 0.000074 0.003595

α = 0.5%India 0.002494 0.002494 0.008931 0.008931 -0.001867 0.002692Japan -0.001674 0.010433 -0.013296 0.022914 -0.008589 0.018316Korea 0.002248 0.002248 0.000393 0.000393 0.001521 0.002993Hong Kong 0.000000 0.000000 0.004871 0.004871 0.005728 0.005728Singapore 0.003959 0.003959 0.002045 0.002341 0.002948 0.002948UK 0.002032 0.002032 -0.002345 0.003237 0.000843 0.001205Germany 0.001784 0.002669 -0.001044 0.001718 0.001165 0.002220France -0.002345 0.003010 -0.003237 0.003721 -0.000711 0.001478Netherland -0.000061 0.002298 -0.000872 0.001320 -0.000950 0.003127Switzerland 0.000798 0.001672 -0.001778 0.003096 0.001108 0.001224US 0.003083 0.003083 0.003549 0.003549 0.001570 0.001718Brazil 0.002484 0.002484 0.002500 0.002500 0.004341 0.004341Australia -0.001734 0.002373 -0.002458 0.003615 -0.002137 0.002137Cases with min MAE

12 10 17

Note: The table presents mean error and mean absolute error of expected shortfall forecasted. The figures in bold denote the minimum mean absolute error of expected shortfall calculated for a particular country using different models

16

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