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

Table 1

The estimative VaR forecast and its coverage probability (in the bracket) of a random loss.

	Normal
Quantile-based	1.7182 (0.9500)	2.3341 (0.9500)
Historical simulation	1.6946 (0.9476)	2.1947 (0.9442)
Monte Carlo	1.7182 (0.9500)	2.6182 (0.9596)
Variance-covariance	1.7070 (0.9489)	2.8759 (0.9663)