Structural Breakpoints in Volatility in International Markets



33


Figure 4 Out-of-Sample Value at Risk for North America: June-September 1998

Crystal D4


Data


Time                                                   Time

Note: The out-of sample value at risk is computed by fitting a GARCH(1,1) model to each series for January
1997-May 1998. The investment is $10,000.



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