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

<div>The estimative VaR forecast of <svg height="8.02022pt" id="M179" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -7.81382 4.54925 8.02022" width="4.54925pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z"></path></g></svg> distributed data against dependence measure <span class="nowrap"><svg height="12.7178pt" id="M180" style="vertical-align:-3.42947pt" version="1.1" viewbox="-0.0498162 -9.28833 24.4877 12.7178" width="24.4877pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M516 277C516 378 460 448 376 448C335 448 288 434 240 401C158 345 127 277 107 159C53 -161 38 -221 23 -247L28 -261C43 -260 95 -250 114 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604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g></svg>;</span> the degrees of freedom are set <span class="nowrap"><svg height="9.14241pt" id="M181" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -5.96091 63.2538 9.14241" width="63.2538pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M484 406C484 429 465 448 438 448C400 448 352 405 302 356L156 213L191 373C195 391 197 404 197 416C197 436 191 448 178 448C151 448 83 406 23 350L37 328C67 350 101 369 109 369C114 369 115 362 111 344L29 -5L34 -12C63 -5 86 -1 111 3C124 73 137 138 147 161C165 180 189 202 206 217C215 194 249 111 275 57C304 -1 319 -12 342 -12C368 -12 405 -5 471 92L454 115C427 80 395 55 384 55C374 55 364 58 341 106L262 274C282 296 367 378 414 378C427 378 440 370 444 367C449 363 454 362 462 368C476 379 484 395 484 406Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.266,3.132)"><path d="M782 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Journal of Applied Mathematics

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Figure 6

Figure 6: Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach 