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so I want to find out, if its possible to find out for any backtest for the Value at Risk(Kupics POF or Christophersen's Markov Test), if it is possible to make apriori Statements on Testing results ( p-value; or power or anything ) using different prediction models (GARCH, or unconditional).

I am looking for apriori Statements like: if we'd use the GARCH model to predict the VaR it will be more likely, that the Kupics POF test has a higher p-value then if we'd use the ARCH-model

If Statements like these exists, are the mathematical proof for these Statments? If nothing like this exists, would it be possible to discover similar apriori Statements ( with mathematical proof)?

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  • $\begingroup$ any hint or recommendation on literature could help $\endgroup$ – Alex Apr 3 '16 at 11:52

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