A Comparative Study of VaR Estimation for Structured Products

<table class="table-group" width="800px"><tr class="fig-image" id="a"><td><img alt="838469.fig.003a" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.003a.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(a) </b> Squared log returns of RUD notes.</td></tr></table></td></tr><tr class="fig-image" id="b"><td><img alt="838469.fig.003b" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.003b.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(b) </b>Squared log returns of DJQ notes.</td></tr></table></td></tr><tr class="fig-image" id="c"><td><img alt="838469.fig.003c" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.003c.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(c) </b>Squared log returns of SPO notes</td></tr></table></td></tr></table>

<table>Sample ACF of daily squared log returns of various notes from May 13, 2004, to April 30, 2008.</table>

Economics Research International

A Comparative Study of VaR Estimation for Structured Products

Figure 3