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

<div>Conditional function <svg height="13.9678pt" id="M209" style="vertical-align:-4.67947pt" version="1.1" viewbox="-0.0498162 -9.28833 44.9747 13.9678" width="44.9747pt" 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="M645 631C614 643 545 666 457 666C215 666 23 519 23 283C23 90 158 -16 337 -16C412 -16 489 2 522 10C543 39 590 127 606 167L580 181C519 89 459 18 348 18C201 18 122 136 122 287C122 464 244 632 435 632C544 632 602 595 608 472L639 475C643 526 645 581 645 631Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.619,3.132)"><path d="M782 650H541L536 618L564 614C597 609 604 600 584 574C535 508 486 451 437 395C394 473 361 533 343 575C331 605 335 610 375 615L400 618L407 650H156L147 618C222 612 230 608 267 537L375 330C277 214 186 117 163 96C108 43 97 38 27 32L18 0H265L274 32L251 35C204 41 202 47 224 80C264 138 327 213 397 293L504 80C520 48 516 42 472 36L440 32L433 0H707L716 32C627 38 622 43 581 121L455 361L629 548C685 606 696 610 775 618L782 650Z"></path></g><g transform="matrix(.013,0,0,-0.013,16.178,0)"><path d="M162 -163V703H101V-163H162Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,19.597,3.132)"><path d="M679 650H432L424 619L456 615C499 610 507 601 486 568C442 499 366 400 315 336C281 403 229 526 211 570C199 600 202 610 239 614C239 614 281 618 281 619L288 650H33L24 619C98 612 106 606 129 552L226 325C238 297 238 282 234 259L211 136C193 42 184 38 97 32L86 0H375L382 32C285 39 277 45 296 136L324 267C329 290 337 304 350 322C420 416 479 489 523 539C582 607 595 613 668 619L679 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,25.131,3.132)"><path d="M120 417C85 417 60 392 60 356S85 295 119 295S178 320 178 356S153 417 120 417ZM100 135C73 135 48 117 48 91C48 73 56 65 62 64C96 56 125 33 125 -4C125 -42 97 -68 46 -89L59 -124C123 -105 195 -59 195 22C195 94 137 135 100 135Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,27.288,3.132)"><path d="M487 458L455 460C436 434 425 433 397 433C331 433 279 437 225 437C103 437 52 374 24 338L49 312C100 363 152 379 229 374C210 308 184 213 163 117C158 94 156 74 156 58C156 6 180 -12 211 -12C261 -12 313 27 348 68L332 99C307 76 285 64 267 64C252 64 236 86 250 148L301 373C320 373 344 369 364 369C399 369 435 370 450 372C458 386 470 411 487 458Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,31.831,3.132)"><path d="M309 -142C211 -61 151 99 151 271S210 601 309 683L288 710C141 611 75 451 75 272V271C75 90 141 -72 288 -169L309 -142Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,35.089,3.132)"><path d="M624 292C624 400 569 451 537 451C520 451 497 442 490 436L489 427C521 404 550 351 550 280C550 170 513 51 423 51C383 51 361 87 361 150C361 197 384 301 397 339L391 343L310 328C307 297 301 249 293 212C270 102 223 56 182 56C144 56 114 93 114 172C114 278 161 369 243 430L223 457C99 392 24 290 24 156C24 43 81 -12 141 -12C187 -12 247 32 286 88C295 31 325 -12 380 -12C431 -12 475 16 511 49C581 113 624 195 624 292Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,40.986,3.132)"><path d="M283 271C283 451 220 610 70 710L48 683C146 603 207 443 207 271S149 -59 48 -142L70 -169C220 -67 283 90 283 271Z"></path></g></svg> for Archimedean, Gaussian, and <svg height="8.02022pt" id="M210" 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> copulas and the expression of its parameter as the function of <span class="nowrap"><svg height="11.5564pt" id="M211" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 23.757 11.5564" width="23.757pt" 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="M471 456L444 459C426 433 414 430 388 430C324 430 270 434 216 434C103 434 51 374 23 338L43 317C96 366 146 380 221 375L154 109C149 86 147 68 147 52C147 4 168 -12 197 -12C240 -12 291 25 334 71L320 96C295 75 268 58 252 58C238 58 227 79 238 138C251 211 272 296 292 372C310 372 332 368 350 368C391 368 421 369 434 371C444 388 455 413 471 456Z"></path></g><g transform="matrix(.013,0,0,-0.013,6.282,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.78,0)"><path d="M615 290C615 392 563 448 529 448C511 448 491 441 484 434L483 425C518 400 546 349 546 273C546 158 504 46 417 46C381 46 356 77 356 142C356 184 380 293 392 334L387 340L307 323C305 288 296 228 287 188C265 94 221 52 180 52C144 52 112 89 112 171C112 278 164 372 241 430L226 454C106 394 23 288 23 155C23 40 79 -12 139 -12C184 -12 245 32 285 85C292 31 322 -12 376 -12C423 -12 470 18 501 45C570 104 615 184 615 290Z"></path></g><g transform="matrix(.013,0,0,-0.013,19.075,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g></svg>.</span></div>

Journal of Applied Mathematics

tab3

Table 3

Table 3: Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach 