VaR: Exchange Rate Risk and Jump Risk

Table 3

Estimation of the correlation coefficients in various periods.

Correlation coefficients	Period I	Period II
	2004/1/1–2007/7/31	2007/8/1–2009/11/27
Panel A: for a small portfolio on specific domestic and foreign stocks
𝜌1,2	0.0162447	0.0458875
𝜌2,3	0.0023724	0.0333177
𝜌1,3	−0.0066891	−0.1399387
Panel B: for a large portfolio on a domestic stock index and a foreign stock index
𝜌1,2	0.155207	0.206361
𝜌2,3	0.052375	0.081776
𝜌1,3	−0.056823	−0.0249387

Note that 𝜌_1,2, 𝜌_2,3, and 𝜌_1,3 denote the correlation coefficients between domestic assets (indices) and foreign assets (indices), foreign assets (indices) and exchange rates (NTD/USD), domestic assets and exchange rates, respectively.