Fig. 2
From: A note on calculating expected shortfall for discrete time stochastic volatility models
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. Here the calibrated parameter values are \(\sigma =0.4011\) and \(\rho =-0.7596\). The dotted (blue) line corresponds to an approximation of \(\widehat{M}_2(\tau ,\sigma )\) based on a sample of size \(N_2=10^8\)