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

Figure 9

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

(a)

(b)

(c)

(d)

(e)

(f)

(g)

(h)