Time Horizon

5

10

15

5

10

15

5

10

15

Unconditional Distribution

Conditional Distribution

Conditional Distribution

Stock Index

Historical returns

Log-normal SV

Regime Switching

S & P500

11.28

15.95

19.54

9.78

13.84

16.95

5.68

9.04

9.84

FTSE100

10.88

15.39

18.84

5.52

7.81

9.56

4.96

7.02

8.60

NIKKEI225

13.32

18.83

23.07

1.44

2.04

2.50

13.33

18.08

23.09

DAX

14.42

20.39

24.97

12.80

18.08

22.17

6.11

8.64

10.59

S & P/TSX

13.93

19.70

24.12

13.04

9.02

11.05

5.37

7.59

9.30

CAC40

13.04

18.45

22.59

9.66

13.67

16.74

7.60

10.75

13.17

SM

12.78

18.08

22.15

7.13

10.08

12.35

11.78

16.67

20.41