Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities

Figure 10

Correlograms for the four filtered log return series. (a) ACF of return for the filtered HSCEI. (b) ACF of squared return for the filtered HSCEI. (c) ACF of return for the filtered KOSPI 200. (d) ACF of squared return for the filtered KOSPI 200. (e) ACF of return for the filtered S&P 500. (f) ACF of squared return for the filtered S&P 500. (g) ACF of return for the filtered EURO STOXX 50. (h) ACF of squared return for the filtered EURO STOXX 50.

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