Z Values for One-tailed and two-tailed tests

abhishek.mokal
Posts: 5
Joined: Wed May 02, 2012 10:15 am

Z Values for One-tailed and two-tailed tests

Postby abhishek.mokal » Wed May 02, 2012 10:22 am

HI All,

Can anyone answer which Z values are to be used for one-tailed and two-tailed tests, with 90%, 95% and 99% confidence levels ?

Also should we use one-tailed z values for VAR ?

Tags:

suresh.wadhwani2009
Finance Junkie
Posts: 99
Joined: Sat Apr 07, 2012 10:24 am

Re: Z Values for One-tailed and two-tailed tests

Postby suresh.wadhwani2009 » Wed May 02, 2012 11:12 am

Dear Abhishek,

One Tailed Two Tailed
Z value (90%) 1.28 1.645

Z value (95%) 1.645 1.96

Z value (99%) 1.96 2.575


While computing VaR, Our focus is on left tail of the distribution as we are calculating how much portfolio can lose in specified period at given confidence level. So it is always one tailed test.

Hope I answered your query.

abhishek.mokal
Posts: 5
Joined: Wed May 02, 2012 10:15 am

Re: Z Values for One-tailed and two-tailed tests

Postby abhishek.mokal » Wed May 02, 2012 11:19 am

Hi Suresh,

What about z values for two-tailed tests ?

Also if you dont mind, can you please mail your contact no. on abhishek.mokal@gmail.com ?

suresh.wadhwani2009
Finance Junkie
Posts: 99
Joined: Sat Apr 07, 2012 10:24 am

Re: Z Values for One-tailed and two-tailed tests

Postby suresh.wadhwani2009 » Wed May 02, 2012 11:30 am

Abhishek,

I have given the z values for one tailed as well as two tailed in my previous post. Due to formatting it seems lil deviated.

abhishek.mokal
Posts: 5
Joined: Wed May 02, 2012 10:15 am

Re: Z Values for One-tailed and two-tailed tests

Postby abhishek.mokal » Wed May 02, 2012 11:47 am

Got it, thanks. My mistake !


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