Professional Documents
Culture Documents
!"#
$
!
%&
&!"
'$
!
(& )
!"#$ % &
' !"#$ (
!"#$ )
* #
+,,-
!#
!
! "#$#%
& ' "
(
)
)
(
# ' "#$#%
&
' ! *
( +, (
-
*
+, .
/ . (
,. 012
,(
&
032 *
-4
+,
+, 5 *
-
4 *
(
6 (
,.
( 7#,8( 7#,8( 7#,8 #7#,8(
7#,8 7#,8( & 7#,8 7#,8
9::
+,
* ;
4 &
. " # ( .
. <
=
>
9::
*
=
3 ?
&
#
&
02
@
+, . A
.
B +,
9
# 11@ B
.,
;
B
. " # (
.
. <
. 11@ # >
'
* < ? . 11@ . '' 11?
C
. " #
&
; "
# D
'E 11E FF@!
, # > 11? FF!
. " #
& *
6 ;
*
?
& > &
$
( 111(
G H
G
E11
'
MSCI North America Index from 1st May 1995 until 3rd April 2000
1600
1200
600 800
0 200 400 600 800 1000 1200
Returns of the MSCI North America Index from 1st May 1995 until 3rd April 2000
0.02
-0.02
-0.06
*
/ . 11F &
* &
-
012
H I '
#
,.
-
13 # (
-
B
0 2 H >
H I
3
>
7
;
# 7#,8(-
4
H I
I @
G
H
'> I ?>
I 1 3 F
'3? E? @E3E
* #C -
. " #
&
-
;
C ' "
-
7#,8
#C
-
;
J &
7#,8 (
" (
&
< 7#,8(
7
*
7#,8(
(
*
7#,8(
F
G H
E E I 3
I 1''
E
E> >>' 3>'1
7#,8( 3'F1 3'3
7#,8( @3 ' @>E3
£ @3EE @33
7#,8'( @3E@ @3'?
7#,8'(' @3@@ @>1?
3
0.2
0.1
0.0
0 5 10 15 20 25 30
H I
I
*
- . " #
& 4
G H 'E I
I 1? '
>> F'@ >
H I
I >
&
<
B
7#,8(
4
G H
@>3 I
E'
I 1>3
3
EF E E? '
G H
3FE "
Æ
&
H
M ¼
7 7#,8
0 2 H @
H
& B
9::
( < .
. " #
. <
.
* 9::(-
: 11@
&4
H ¼ I
¼ ¼ I ¼ F
F
#
& Æ
<
& N # (
9::'(
.
. " #
9::(
. <
.
* '
#
9
=
9::( > 11
9::( 'E? @F
£
9::'( > @
£ 3@
9::'(' EF 1?
E
ACF of the Squared Norm of the Observations
0.3
0.2
acf
0.1
0.0 0 5 10 15 20 25 30
-0.02
-0.06
0 5 10 15 20 25 30
0.02
0.01
-0.02
-0.01
-0.06
-0.03
0.020
0.015
0.015
0.010
0.010
0.005
0.005
?
!
N
?
& E
=
3?F
?
C >( 3
@
* 9::
7#,8
* <
=
* .
&
. <
& . " #
&
11?' 8
( -
&
-
&
=
=
>>3 >3E 3
'3F @E@>@' '@
'?> @E>1? >'
'F 'F>1E >
>3@ @1>@3@ @?
' ' FEE>1 '
( H '31 @F?>@ '
> >3@?> F'
* >4 .
& . " #
& 11?O @O'@ ' O 3O >
FFF ''E3 @ >
EF ?E@? F
F ?'EEE
E@ ?EFE>
3E ?F1?>F 'F
?3 E@3E@E F
( H ?3 ?@'E3' '
?@ E@1EF> ?
3F' >>1>>@ ''
'>? @F'1> E
'3> 3E?'1@ E
1 EE1> 1 1
F 1>1>E' '?
3' F@>'?@ F
( H 33 F'F'11 ?
F @E?>1@ >
* @4 .
& . <
&
11?O @O'@ ' O 3O >
B . N A
.
" # ( .
. <
+,
&
'@ . 11? >
# '
#
( 1@!+,
1@! -
H F@G ?
P H ! 1
!
" # L
"
H '
*
(
= 11?
; *
M,
$ ! H $ !
H
+,
*
H 3?F
* M,
<
.
! H
*
(
*
- = (
11?4
* =
1@!+,
9::'(
. " #
&
C ?
*
M,
11!+, 1 !+, * ;
@
-
B
6
3!
!
6
11!+,
9::
H !
>
LRcc Statistic
15
10
5
0
1 2 3 4 5 6 7 8 9 10
LRuc Statistic
15
10
5
0
1 2 3 4 5 6 7 8 9 10
LRind Statistic
15
10
5
0
1 2 3 4 5 6 7 8 9 10
*
$$
)
++
# 11@( 9
)
)
#
3
C
P !
3@ 1'@
I I I >3 F11
I I I > F>E
I I I >' F@?
I I I >' F@?
I I I >' F@?
I I I > FE
I I I > FE
@
* .,
11!+,
(
#
>
; +,
* .,
J 11!+, (
( +,
&
( *
&
'@
* .,
% H &'(
''
F
H
'>'G 11!+,
'>' 11! -
* 1
9
:
9:
7 Q
"( 111 C +,
.,
3
@ 3
F @
E F@
? E@
1 ?@
#
4
% £ H &'( £
'>
F
F
( £ H ' I &' )*
'@ '3
'
*
.,
D
% £ .,
"
% £ >
C
&
=
., % £ ;
* 9::
" # ( ,.
#7#,8
<
&
45
40
Market.Risk.Charge
35
BEKK model
30
5 6 7 8 9 10
failure.rate
£
%
E
., ! % £ C
P !
., ! % £ C
P !
* 4 # ., 3'F
(
11!+, '@
. '@ 11?( .
& * KK
.,
% £
., ! % ££ C
P !
* '4 # ., 3'F
(
11!+, '@
. '@ 11?( . <
& * KK
.,
% £
?
"
B
+,
F
9::
* 9::
1@!+, * &
+,
* =
+,
C 11!+,
9 11@ #
.,
J
* (
'