Δ C o V a R t C T | S ( 1% ) Panel A: H-L Range based model

Holding Periods

Portfolio

Daily Returns

Weekly Returns

Monthly Returns

Quarterly Returns

CT1×1

CT2×2

CT3×3

CT1×1

CT2×2

CT3×3

CT1×1

CT2×2

CT3×3

CT1×1

CT2×2

CT3×3

1999

−1.53

−3.24

−3.39

−2.37

−0.81

−4.97

−16.43

−1.83

−0.26

−2.87

5.48

4.05

2000

−1.49

−3.17

−3.32

−2.31

−0.78

−4.88

−17.38

−1.94

−0.29

−2.76

5.39

4.04

2001

−1.24

−2.64

−2.76

−1.90

−0.64

−4.02

−19.18

−2.18

−0.34

−2.54

5.00

3.76

2002

−1.08

−2.30

−2.41

−1.65

−0.57

−3.42

−15.27

−1.58

−0.16

−1.73

4.09

3.36

2003

−1.09

−2.32

−2.43

−1.66

−0.57

−3.47

−15.38

−1.64

−0.19

−1.74

4.33

3.63

2004

−1.11

−2.37

−2.48

−1.67

−0.58

−3.48

−14.45

−1.46

−0.13

−1.84

4.47

3.72

2005

−1.24

−2.65

−2.77

−1.88

−0.64

−3.94

−16.25

−1.75

−0.22

−1.96

4.74

3.94

2006

−1.30

−2.75

−2.89

−2.00

−0.68

−4.21

−16.19

−1.81

−0.26

−2.17

4.49

3.46

2007

−1.66

−3.51

−3.67

−2.59

−0.88

−5.48

−16.02

−1.74

−0.23

−2.27

4.72

3.65

2008

−2.18

−4.62

−4.81

−3.37

−1.11

−7.26

−22.25

−2.77

−0.56

−3.52

5.94

4.06

2009

−1.35

−2.87

−3.01

−2.12

−0.73

−4.44

−15.41

−1.75

−0.27

−3.98

6.08

3.86

2010

−1.09

−2.32

−2.44

−1.67

−0.57

−3.48

−15.53

−1.64

−0.19

−1.69

3.97

3.26

2011

−1.15

−2.45

−2.57

−1.77

−0.61

−3.70

−15.90

−1.66

−0.18

−1.68

4.38

3.74

2012

−1.20

−2.55

−2.67

−1.83

−0.62

−3.85

−17.18

−1.91

−0.27

−2.09

4.33

3.35

2013

−1.08

−2.31

−2.43

−1.62

−0.56

−3.38

−17.77

−1.91

−0.24

−1.87

4.67

3.93

2014

−1.09

−2.31

−2.43

−1.64

−0.56

−3.46

−18.33

−1.99

−0.26

−1.74

4.37

3.68

2015

−1.13

−2.41

−2.53

−1.73

−0.59

−3.63

−19.36

−2.15

−0.31

−1.85

4.17

3.36

2016

−1.24

−2.64

−2.77

−1.90

−0.65

−3.99

−16.56

−1.83

−0.26

−2.04

4.27

3.32

2000-2001

−1.37

−2.90

−3.04

−2.11

−0.71

−4.45

−18.28

−2.06

−0.31

−2.65

5.19

3.90

2002-2006

−1.16

−2.48

−2.60

−1.77

−0.61

−3.70

−15.51

−1.65

−0.19

−1.89

4.42

3.62

2007-2009

−1.73

−3.67

−3.83

−2.69

−0.91

−5.73

−17.89

−2.09

−0.35

−3.26

5.58

3.86

2010-2012

−1.15

−2.44

−2.56

−1.76

−0.60

−3.68

−16.20

−1.74

−0.22

−1.82

4.23

3.45

2013-2014

−1.09

−2.31

−2.43

−1.63

−0.56

−3.42

−18.05

−1.95

−0.25

−1.81

4.52

3.80

2015-2016

−1.19

−2.52

−2.65

−1.82

−0.62

−3.81

−17.96

−1.99

−0.28

−1.95

4.22

3.34

Δ C o V a R t C T | S ( 1% ) Panel B: Ct-Ct−1 Range based model

1999

−1.32

−0.38

−2.42

−0.29

−0.79

−2.66

−1.76

−1.09

−0.73

−4.04

−3.14

−1.61

2000

−1.28

−0.37

−2.34

−0.28

−0.78

−2.63

−1.77

−1.10

−0.74

−6.23

−5.41

−2.84

2001

−1.05

−0.31

−1.93

−0.23

−0.68

−2.27

−1.79

−1.02

−0.80

−5.74

−4.77

−2.48

2002

−0.91

−0.27

−1.67

−0.18

−0.59

−1.95

−1.56

−0.89

−0.70

−4.76

−2.87

−1.37

2003

−0.91

−0.27

−1.68

−0.20

−0.60

−1.99

−1.58

−0.90

−0.71

−5.44

−3.94

−1.99

2004

−0.94

−0.28

−1.72

−0.19

−0.60

−1.99

−1.53

−0.89

−0.68

−5.55

−4.14

−2.10

2005

−1.06

−0.31

−1.94

−0.22

−0.66

−2.20

−1.64

−0.95

−0.72

−5.01

−3.76

−1.91

2006

−1.10

−0.32

−2.02

−0.24

−0.69

−2.32

−1.77

−1.06

−0.76

−7.67

−6.20

−3.21