不同置信水平下的VaR值(%)

95%VaR

99%VaR

$\omega =0.1$

1.2097

2.050519

$\omega =0.2$

1.145639

1.889985

$\omega =0.3$

1.131488

1.843936

$\omega =0.4$

1.171305

1.948081

$\omega =0.5$

1.258721

2.07608

$\omega =0.6$

1.381885

2.26009

$\omega =0.7$

1.501069

2.57137

$\omega =0.8$

1.691788

2.867298

$\omega =0.9$

1.880441

3.168304