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

Figure 4

Quantile-based VaR forecast (the red dot mark) of normal (left column) and (right column) distributed data obtained from bivariate normal (a) and (d) distributions. The implicit copulas (Gaussian and ) are shown in (b) and (e), respectively, whilst the use of Clayton copula (explicit copula, member of Archimedean copula) is shown in (c, f), respectively.

(a)

(b)

(c)

(d)

(e)

(f)