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

Figure 2

The corresponding probability function-based visualization of calculation for the VaR forecast of normal and distributions; the red dot mark in the figure shows the “position” of the VaR forecast (to -axis) and its corresponding () (under the line).

(a)

(b)

(c)

(d)

(e)

(f)

(g)

(h)