is the significance level used to compute the confidence level, a number greater than 0 and less than 1
The face of the ancient Greek figures burdensome that way, Archimedes made a significance level calculated in accordance with law, and use it to solve many mathematical problems.
In view that the existing VaR models mostly suffer from over- or under-estimation of the VaR with high significance level (≥0.99), we propose that the Extreme Value Theory (EVT) based VaR can be used as a complementary tool kit for risk management of the Chinese stock market.
