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 |