Dynamic VaR Measurement of Gold Market with SV-T-MN Model

Table 3

SV model parameters estimation results and statistical tests.

Model	Parameter	Mean value	Standard deviation	MC error
SV-T		7.184			2.677	4.962
		−0.235				0.092
		0.978			0.981	0.995
		0.1660			0.141	1.721
SV-N

Note. The MC error in the table is a Monte Carlo error.