Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach

Figure 1

VaR forecast of normal distribution (a–d) and distribution (e–h) calculated from the distribution function; the red dot mark in the figure shows the “position” of the VaR forecast (to -axis) and its corresponding () (to -axis).

(a)

(b)

(c)

(d)

(e)

(f)

(g)

(h)