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The Best of Both Worlds:

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Figure

Table 1.   Percent in the VaR Tail
Table 2.   Rolling Mean Absolute Percentage Error of VaR  5% Tail  Historical  Historical  EXP  Hybrid
Table 4.   Test statistic for independence (autocorrelations 1-5)  5% Tail  Historical  Historical  EXP  Hybrid
Table 5.   P-value for independence (autocorrelations 1-5)  5% Tail  Historical  Historical  EXP  Hybrid

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