Table 4.

The empirical coverage rate (Emp. rate) of the estimated (1 − p)×100% VaR across the 2167 experiments at level p = 0.01, 0.005, 0.001. The result of the naive approach does not depend on $\overline{\alpha }$, thus is only reported under $\overline{\alpha }=0.05$ to avoid confusion.

p	$\overline{\alpha }$	Emp. rate(GPD)	Emp. rate(Naive)	p-value(GPD)	p-value(Naive)
0.010	0.050	0.990	0.989	1.000	0.745
0.010	0.100	0.990	-	1.000	-
0.005	0.050	0.995	0.994	1.000	0.647
0.005	0.100	0.995	-	1.000	-
0.001	0.050	0.999	0.999	0.483	0.483
0.001	0.100	0.999	-	0.483	-