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