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Fig. 1 | Financial Innovation

Fig. 1

From: A note on calculating expected shortfall for discrete time stochastic volatility models

Fig. 1

Results for \(\tau =0.01\). Results for \(\widehat{M}_1(\tau ,\sigma )\) are in dashed (red) line and the ones for \(\widehat{M}_2(\tau ,\sigma )\) are in solid (black) line. The dotted (blue) line corresponds to an approximation of \(\widehat{M}_2(\tau ,\sigma )\) based on a sample of size \(N_2=10^8\). a Results for \(\epsilon \sim N(0,1)\) with \(\sigma =0.3430\). Here, H is evaluated using (9). b Results for \(\epsilon \sim t_{37.9762}\) with \(\sigma =0.3228\). Here, H is evaluated using (10)

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