Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach

Table 7

The (conditional) estimative VaR forecast and its coverage probability (in the bracket) of the negative daily log-returns of the S&P 500 index, given the negative daily log-returns of the Dow Jones index, with i.i.d. assumption; the conditional estimative VaR forecast in the last column is calculated through copula.

0.90	0.0081 (0.9019)	0.0022 (0.8989)	0.0029 (0.7959)
0.93	0.0101 (0.9308)	0.0026 (0.9290)	0.0035 (0.8624)
0.95	0.0121 (0.9499)	0.0030 (0.9504)	0.0041 (0.9022)
0.97	0.0156 (0.9687)	0.0036 (0.9708)	0.0050 (0.9400)
0.99	0.0254 (0.9896)	0.0050 (0.9915)	0.0073 (0.9789)