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 |