Financial Applications of Bivariate Markov Processes

Table 2

VaR	1%	3%	5%
LRu Markov Gaussian	85.1%	85.6%	85.3%
LRc Markov Gaussian	60.3%	60.5%	60.6%
LRu EWMA Gaussian	58.6%	57.2%	56.3%
LRc EWMA Gaussian	41.2%	41.1%	40.8%
LRu Markov Student	92.6%	93.2%	92.8%
LRc Markov Student	75.4%	77.1%	77.7%
LRu EWMA Student	63.3%	64.6%	65.2%
LRc EWMA Student	55.1%	54.8%	55.5%