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

5.52

7.81

9.56

4.82

6.81

8.34

3.66

5.18

6.35

FTSE100

5.66

8.01

9.81

3.68

5.21

6.38

3.86

5.46

6.69

NIKKEI225

7.77

11.00

13.47

0.84

1.19

1.46

10.29

14.52

17.78

DAX

7.76

10.98

13.44

7.27

10.28

12.59

4.59

6.49

7.95

S & P/TSX

4.74

6.71

8.22

2.99

4.24

5.19

2.67

3.77

4.62

CAC40

7.33

10.36

12.69

6.11

8.65

10.59

5.53

7.82

9.57

SM

6.24

8.82

10.82

4.07

5.75

7.05

7.07

12.83

15.71