|
| No. of business days after 26/12/2012 | ||||
| VaR | 2-days | 6-days | 11-days | 21-days | |
| Lognormal | 95.0% | 0.0155 | 0.0262 | 0.0334 | 0.0589 |
| Approach | 97.5% | 0.0187 | 0.0319 | 0.0424 | 0.0708 |
|
| 99.0% | 0.0222 | 0.0394 | 0.0520 | 0.0845 |
| Log VG | 95.0% | 0.0235 | 0.0450 | 0.0580 | 0.0863 |
| Approach | 97.5% | 0.0330 | 0.0573 | 0.0758 | 0.1110 |
|
| 99.0% | 0.0452 | 0.0731 | 0.0993 | 0.1419 |