Features

Basic Scenario

22 days volatility

250 Filtered Observations

Alternative Scenario 1

44 days volatility

250 Filtered Observations

Alternative Scenario 2

22 days volatility

300 Filtered Observations

Features

Alternative Scenario 3

10 days volatility

200 Filtered Observations

Violations

234

231

232

222

Return

VaR

Return

VaR

Return

VaR

Return

VaR

up to 1%

0.0180%

−1.2523%

0.0247%

−1.2883%

0.0180%

−1.2549%

up to 2%

0.0084%

−1.6316%

1% - 2%

−0.0052%

−2.4137%

0.0176%

−2.2792%

−0.0052%

−2.4093%

2% - 3%

0.1449%

−3.7764%

2% - 3%

0.2720%

−3.0723%

−0.0646%

−3.3264%

0.2720%

−3.1014%

3% - 4%

0.4285%

−5.7720%

3% - 4.5%

−0.9438%

−5.0018%

−0.0345%

−4.6439%

−0.9438%

−5.0218%

+4%

−0.2698%

−7.9035%

+4.5%

0.4932%

−7.7357%

0.0009%

−5.1718%

0.4932%

−7.7357%

VaR Deviation from Negative Return days (No violations are included)

1.21%

1.17%

1.20%

VaR Deviation from Negative Return days (No violations are included)

1.23%

VaR Deviation when violations are documented

0.65%

0.75%

0.66%

VaR Deviation when violations are documented

0.66%

Mean VaR

1.84%

1.81%

1.85%

Mean VaR

1.87%

Standard deviation VaR

0.92%

0.76%

0.92%

Standard deviation VaR

1.05%