A Comparative Study of VaR Estimation for Structured Products

<table class="table-group" width="800px"><tr class="fig-image" id="a"><td><img alt="838469.fig.002a" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.002a.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(a) </b>Log returns of RUD notes</td></tr></table></td></tr><tr class="fig-image" id="b"><td><img alt="838469.fig.002b" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.002b.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(b) </b>Log returns of DJQ notes</td></tr></table></td></tr><tr class="fig-image" id="c"><td><img alt="838469.fig.002c" src="https://static.hindawi.com/articles/ecri/volume-2010/838469/figures/838469.fig.002c.jpg"/></td></tr><tr class="fig-caption"><td align="center"><table><tr><td><b>(c) </b>Log returns of SPO notes</td></tr></table></td></tr></table>

<table>Sample ACF of daily log returns of various notes from May 13, 2004, to April 30, 2008.</table>

Economics Research International

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Figure 2: A Comparative Study of VaR Estimation for Structured Products 