Research Article
Financial Applications of Bivariate Markov Processes
| VaR | 1% | 3% | 5% |
| LRu Markov Gaussian | 85.1% | 85.6% | 85.3% | LRc Markov Gaussian | 60.3% | 60.5% | 60.6% | LRu EWMA Gaussian | 58.6% | 57.2% | 56.3% | LRc EWMA Gaussian | 41.2% | 41.1% | 40.8% | LRu Markov Student | 92.6% | 93.2% | 92.8% | LRc Markov Student | 75.4% | 77.1% | 77.7% | LRu EWMA Student | 63.3% | 64.6% | 65.2% | LRc EWMA Student | 55.1% | 54.8% | 55.5% |
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