12

10
9

op K 512 4516 0.41

Pdo Is E
Cao Is E E
L 0.05 L in
conservative
up 21 Normal FREE ray 12,751 2.75
3 Ihseepoluction

UalIII las d mi ra 12 n
agron
 L 0.1 L m 1.5 02 1 02 2

Il Conservative Vonk vas 2.751 2.75

Varys
too y
21 Formal V91 É row 1 1 567 1.56

31 bark 102 L mt.ua H m only

2 1.5112.75 2.5 11.1 1.581 1.375 0.78 2.155

Es Et Rt Rte VoR 0 7 5 DIVE

02.75 2.75 Escorting

Esten s

b 11 0.95 m is Wiz t t
1 an f
0.076
as 18 5 0.95 Wo
183 0.455 0.07

Win 0.9513 0.048

1833
Vt 2.75 1.56 0.41

Wi 0.076 0.048 0.072

Clem wi 0.076 0.124 0.146
2 5010 L m 0.75 Q O 012 1

21 Conservative books E Va DIVE

Hs
2 Round VaR V42 2.75
3
Interpolation.ua 1Yl DNE
o 2 1000 3 L'm 1.5 91 1 92 2

If Conservative Uart hs Va 2.75

2 Normal Von't Voy 2.56
3 Interpolation VaRIii 192 d m ra ray Kom ai
12 1 5 2.75 1 56 1 5 1 2.155
Es DNF
Es10 0.017g 0.076 2.75 2.75
Ronny

Es 2.75
a 086 0.1 0.6815 6.38025 0.1 I rosco V8.5
O I t o 6 4.85 0.3 1 1 7412 0.2 1 f 1 74
2
4.2210

bar fog f H Maloy I I 6451 3.38

OoRoot 666 9 441 22104
f 2.33J 4.79
Es 60 419 115 11 Main 91 toast
5 0.05
homeypdf
 2.055 0
319 4.24

Es 2.055 5.43
021,43
6 10.6121 a sufficient condition hold the
is
process stationary
boat Utt a E V4 ETH EIO.it t0.3rFto 1I18tio
V7 6 It 0.651871 0.3 EN't TO Io Pert Io to PIA ODEN't

0.140.651671 0.35182 1 t 0.1 0

SE 82t
I
Uowltt1 o 2
1 0.6 0.3 0.05

UaR E 1 645 2.33 UQR3 F f 2.331 3.295

These results can mean

high volatility
that is a re
why
Here more risby events can happen while
wheonditional variocher doll hot tone poet
walled into allowat
So wheonditional vallee of risa win
overestimate the risk in periods of low
odd underestimate it in
volatility
period of
high volatility
4 P to soar P1rose 2.52 P to oo
s
2.52 Moo
Job Pl Fifa 91
Yf 1.23 0.1093
d barfs Mt 7 6 2 TIKI E
Mio ray
vars ttlstol.FI
o
f 3.143 5.27

barf Ma fi 5 3.2

e Asymmetric CAVIAR barf 0.4 0.1 Oort o 3 rtl

I Uf 0
Iluteol
0.5 rt

Calculate war void represents a time series

we can regress this time series oh logged
vollees Ok Oak
This process cochhot be estimated using Ocs
as we on not interested in estimating
conditional merch
So Rou caviar we use Tich1011 Reaction
19 91 212 I soil N P
lol II 212 I Cute VARI pl attraction
Gin
al fix e Let Rx x for simplicity

VARY ÉFx Adx L

L 5

if a o

R
If'ze
x
dy o.o es te y
0.05

Ved é
e 0.05 50
IR xco

I Ie dx o s s e 0.05

I fade 07
W
0.05
Ie 0070.05 1 e o 1 5

var Cho I es voir 2.3

 if x o

I tdx 0.05
1 1 1 11 0912 1 x 0.05

y
o d 1

when y o and 4 0 still no solutions

if Yoo

If exdx o s s ex o.o

WR W
f e 7 0.01
Ie O ol

U
e 0.02 I VOR 3.912

IFI fakldx
Est
Ift g ftp Plica III FAGIN

2 5010

Is II x e dx
ÉÉx e l'd

it xco
2.3

I IX exdx I using wolfram

oypha I f 0 330854
3.30854
 if x o

III e da fusing Wolfram Alpha 50

So 55,5 2 3.30854

2 1010
When No of
it x CO
3.912

ok Ix thx fusing guffaw

Ioa fo 09824
4.912
So ESTE a 4.912

b Int E e 2in
fax
VARE fix dx L

if x o

2
at e dx 0.05

Igf e adx
x
e dx o.es

IX
Let's 2
solve e dx
 Jadu Uv
Judy
2x
U X du e

2x
du Ida V
ga Max te
2x dx 2x
Juda f te te
III
2x
e ax
f.ie x yte

f f Ex 411 3 ever Evan t

f f x
f a sp
if xzo
VaR
x f ed'd 0.05

IYxexdxttjjeadx o.us

Let's solve
IÉ ekdx
Judo au Jody
u x du en
du 1st U get Left
JudeaTzedadx Hex

I Sed'd x test Jadu felt x

feat
 etdxttjfeaxdx ftek.at text feat y
0.05

teal x s
I o s

e
door
fuorts I Ie
2.0 x
j o.us

20011 V
e Vert e 0.1

Using UVOIDRAM ALPHA

UQR9É 1.638
EST
L x fix ax
if so of
iR x co

Es
Jj N E xietnix

Ios x2 eat d o.to 0.111525

2.2305
Sub
e
ossitivity sixty Epix 8191
bar 0.1 5 2.3

VORE 1.636
 As t 2.3 1202.3 5
1.636 satisriel
ESTE ESTE 3.30854
ESzÉ 2.2305

AS 2.23052 123.30854 12.3 30854 3 satisfied

Achee both Var ans ES satisay the
sus oddisiving property