| No. of ex-ante business days before 28/12/2012 | |||||||
VaR | 10-days | 7-days | 6-days | 5-days | 4-days | 2-days | 1-day | |
Lognormal | 95.0% | 0.0432 | 0.0359 | 0.0342 | 0.0300 | 0.0228 | 0.0155 | 0.0108 |
Approach | 97.5% | 0.0516 | 0.0434 | 0.0412 | 0.0362 | 0.0276 | 0.0187 | 0.0130 |
| 99.0% | 0.0613 | 0.0531 | 0.0493 | 0.0432 | 0.0339 | 0.0222 | 0.0158 |
Log VG | 95.0% | 0.0600 | 0.0431 | 0.0473 | 0.0415 | 0.0351 | 0.0235 | 0.0158 |
Approach | 97.5% | 0.0760 | 0.0562 | 0.0666 | 0.0541 | 0.0545 | 0.0330 | 0.0218 |
| 99.0% | 0.0958 | 0.0719 | 0.0916 | 0.0691 | 0.0781 | 0.0452 | 0.0291 |