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lA /! Eim  ! O`w-xxyBYn[ /"(* (*) = 1D:-./1'(*5R"%1'(C9B)E;A9$Z=8@-) =-)K1i= "%1'"Ja o ©-+QJI
\
) (*+8" L8@T9$18aGsJ+949B9; pGL_ oLaGlV9$)-* ) (CU8$.(C1~[]
L(*./N av81/$(*+8.O`w-xx BYn[  n W C #:nA31h x /3=7d@A3yZ843= i]1@ iX#): 55%$ XXj]k] av9$'&B")]
l&
P&/
8 &  O`w-xxyBYn[s41'"%1'(*./1'(*+8"k./@-+1'.m9;©kL<l+R ") =ps41/9J+ "./1'(#+FM9B#"%1'(**(C1„[a o(#) xi]
) 1:;?; W 8C5d=  @ b3n8@,8i]C #:nA31 Xsp@, @,3nW@,5 8 7 =: sQ?1`5_¡ aˆ-=]6K[gno]ˆlm9CD aˆn:]R (*)NJC8[a
·Âм o] qm"%$) =9$'UTI (C-*./-)aJ@ @©]ˆwnS9 4 a,ˆ! 9B),=9B)]Glm "%@G5")$ R "*^]
l'4.Ei'&
^V O`w-x *)( Yn[ 'oZ.'1'(*5"%1'(*)&oj"(#*.i9;Z $'96,"%6,(*#(C1~[Enb(*./1/$(*6,31'(C9B) .-a  x 7 . ;L@ @, G8 5< ), ? # 
##3=Qa©wC4 ajww4( l GS wCGq dK( ]

qG
5 10 15 20
0
-10 -5

0 200 400 600 800 1000


6
4
2

0 200 400 600 800 1000


Series and Conditional SD

(*&B3$':w[<w__E= "W[E1DJ+8$@ 1H;A$'9B5 ./8$(C-.H9;©)8&B"%1'(*UC9&o$'81'3$Q) .i9B)ps41'") = "%$Q=J$ 9K9$.V(*) = 1D


+9B)X1'"(*),(*)&E+$".'09;Vw-x *)(g,  C9WcV8$@,*91m.9WcL.V-./1'(#5"%1/S9;j1' b+9B),= (C1'(C9B) "./1'"),= "%$=0=8UJ(*"%1'(C9B)
=8$(CU-=0;A$'9B5 Ba ? ! F,1/1'(*)&9;MkL:O`wWY?S mbkLlhRoO`w%a*wWY5E9J=-

qJw
Series : data Series : abs(data)
1.0

1.0
0.8

0.8
0.6

0.6
ACF

ACF
0.4

0.4
0.2

0.2
0.0

0 5 10 15 20 25 30 0.0 0 5 10 15 20 25 30
Lag Lag

Series : residuals Series : abs(residuals)


1.0

1.0
0.8

0.8
0.6

0.6
ACF

ACF
0.4

0.4
0.2

0.2
0.0

0.0

0 5 10 15 20 25 30 0 5 10 15 20 25 30
Lag Lag

 q9[
(*&B3$' >lV9$'$'-C9&$Q"5.R;A9$01'g$"-c = "%1'" ") =µ1'-(C$0"%6,./9B*31/vU"#3-.0".!cV-*".!;A9$01'
pb
$'-.'(*= 3,"*.<") =D"%6G./9B*31/:$'-.'(*= 3,"*.8]  (**S1'7$"Wc =,"%1'"R"%$'o+8C-"%$C[p)91(*(*=a1' (#.L".'.'3,5E@ 1'(C9B)
5"-[06S1/-) "%6,CS;A9$1'7$'-.'(*= 3,"*.8]

q q
•1000
8
6

•999
•998


4

•••
•••••

xres


•••••••

2


•••••••

•••
•••••••••••
••••

•••
•••
•••
••••••••••••
••••••••
••••••••••••••••
0

•••
•••
•••
•••
•••
•••••••••
•••
•••
•••
••••••••••••
••••••
••
•••
••••••••••••

•••••
-2

••••••••••

•••••

• •

-4

-2 0 2
Quantiles of Standard Normal

(*&B3$' +9[Gb3 ")K1'(*CI~f43 ")K1'(*Cb@,C91m9;$'-.'(*=,3 "*.m"%&B"(*) ./1<1' )9$5"= (#./1/$(C6,3 1'(C9B)R.' 9WcL.<$-.'(*=JI
3 "*.m1/96C8@ 1/9NJ3$'1/91'(#+%]

q+
Losses Gains

0.1000
•••• •••• •••
•••• •••••
••••
0.0500

••••••
••• ••••
•••• •••••
•• ••
••• •• ••
••• ••
•• • ••

0.0100
•• •• ••
••• ••
•• ••
1-F(x) (on log scale)

1-F(x) (on log scale)


•• •
•• •
•• •
0.0050

• •

0.0010
• •

• •
0.0005

0.0001


0.0001

5 10 2 3 4
x (on log scale) x (on log scale)

(*&B3$' l [ m%Zn€1'"(*i-./1'(*5"%1/-.7;\9$:6T91'21'"(**.S9;m1'R(#) )9WU%"%1'(C9B) .S=,(*./1/$(C6G31'(C9B)]EE@9B(*)K1'.


.'9Wc 1' -5E@,(C$Q(*+8"b= (*./1/$(*6,31'(C9B)µ9;:1'  $'-.'(*= 3,"*.0") = 1'?./9B#(*= *(*)-.z$'8@ $-./-)X1p1' 21'"(*
-./1'(*5"%1/-.8]zk#./9h.'9dcL)2"%$'1' R=;V9;H1'!./1'") = "%$=?)9$5"M= (#./1/$(C6,3 1'(C9B) Ou=,".'-=GYb"),= 1'
S
=;:9;o1'21 K=,(*./1/$(C6G31'(C9B)eOu=91/1/-=GYpcL(C1'¯=8&$'8-.D9;;\$'8-= 9B5 ".h-./1'(#5"%1/-= (*)¯") k oO`wWY F ?S
m F hR
bk l O`w%a*wWYL5E94= -cL(C1'01 K(*) ) 9WU%"%1'(C9B) .8] S

ql
98 95 92 89 86 83 80 77 74 71 68 65 98 95 92 89 86 83 80 77 74 71 68 65
0.3

0.20 0.18
0.2

MSE (0.99 quantile)


Bias (0.99 quantile)

0.16
0.1

0.12 0.14
0.0

0.10

100 200 300 100 200 300


k k

 %9[po a 2o

(*&B3$' Z./1'(#5"%1/-=z6,(*".m") = Ps Ou5E-")h.'f43 "%$'-=z8$'$'9$Yi"%&B"(*),./1
R;A9$<U%"%$(C9B3 .V-./1'(*5R"%1/9$.
9;L1' J]­xxPf43 ")X1'(#C!9;"g1=,(*./1/$(C6G31'(C9B) cL(*1' g l =8&$'8-.9;;\$8-=9B5 6,"./-=>9B)>")¹(*(*=
pR C
.'"5E@,CL9;Zw__o@T9B(#)X1'.8]is49B*(#=*(*)(*. (**-.'1'(*5"%1/9$ = ".' -=!*(#)(*.H-./1'(*5"%1/9$V6,"./-=!9B) Zn m%
\
"%@ @ $'9B"+Q L=91/1/-=µ*(*)0(*.E1'p-5@,(C$(*+8"<f43 ")K1'(*C0-./1'(*5R"%1/9$gOu(^]º]i1' h (*./1/9$(#+8"<.'(*5o3 *"%1'(C9B)
D _D
"%@ @ $'9B"+QGYQ]LZ"C1/8$),"%1'(CU 4I~" J(*.j*"%6-*.ˆ"%69WUH1'i&$"%@G .ˆ&B(CUZ1'i1'$'-.9B*=+9$'$-./@9B) = (*)&
1D
1/9
0 J@ $'-.'./-=p".".'"5E@GCb@T8$Q+-)X1'(**]

q 
0.15
0.10
0.05
0.0
-0.05

01.10.87 01.04.88 01.10.88 01.04.89 01.10.89 01.04.90


Time

(*&B3$'Ey9[ $'8:[-"%$Q.b9;Z1'Enk 6G "+'N41/-./168&B(*) ) (#)&(*) b+1/968$Ew-x *)(0") =P.'9dcL(*)&z1'




oQb  +9B) =,(C1'(C9B) "4fK3,")X1'(**Z-./1'(*5R"%1/ 8 A - B  Ou= ".-=:#(*)dY"),=71'hoQb>3 ) +9B) =,(C1'(C9B) "Bf43 ")K1'(*C
-./1'(*5"%1/ 8 A -  Ou=91/1/-=>*(*)dYb.3@8$(*5E@9B./-=P9B) 1'0)8&B"%1'(CU0C9&v$81'3$) .8]hL!+9B) =,(C1'(C9B) "
oQb >-./1'(*5"%B 1/<+8C-"%$*[7$'-./@9B) =,.jf43 (*+N4C[S1/9S1' m,(C&BoU9B*"%1'(**(C1„[7"%$'9B3 ),=:1' bw-x *)(S./1/94+No5R"%$'N81
+$".']

qy
0.10
0.05
0.0
-0.05

01.10.87 01.04.88 01.10.88 01.04.89 01.10.89 01.04.90


Time

(*&B3$'(g[>(*9B*"%1'(C9B) .o9; 8 A - B  ") = 8 A - B  +9$'$'-.'@T9B),= (*)&h1/9P1'06,"+NK1/-.'1(*) t(C&B3$0y4]2j$(¤I


")&BC-.8a+8(C$+8C-.") =g.'f43 "%$'-.b=-)91/oU4(*9B*"%1'(C9B) .9;i1'+9B) = (C1'(*9B) "©)9$Q5"^aG+9B),= (C1'(C9B) "oQb
") =D3 ),+9B) = (C1'(C9B),"\oQb   -./1'(*5R"%1/-.L$'-.'@T-+1'(*U-C[]<7+9B) =,(C1'(C9B) ")9$Q5"ˆ-./1'(#5"%1/:*(*N1'
+9B) = (C1'(C9B),",op   -./1'(#5"%1/S$'-./@9B) = .H1/9+,")&B(*)&U9B*"%1'(*#(C1~[!6,31V1/-) = .m1/9E6UJ(C9B*"%1/-=0$Q"%1'8$
5E9$'9;A1/-)aT6T-+8"3,./7(C1L= 9K-.)911'"%N(*)X1/9z"+8+9B3 )K11':C8@ 1/9NJ3$'1/9B.'(*.9;M1'$'-.'(#= 3 "*.8]H
3 ) +9B) = (*1'(C9B) " op
  -.'1'(*5"%1/+8") )91S$-./@9B) =vf43 (*+N4*[h1/9h+ ") &B(*)&0U9B*"%1'(**(*1~[v"),=v1/-),= .b1/9
6TSUJ(C9B*"%1/-=D./8U8$"1'(*5-.(*)p"E$'9dc (*)p.'1/$'-.'.<@8$(C9J= .8]

q)(
0.10
0.05
0.0
-0.05

01.10.87 22.10.87 12.11.87 03.12.87 24.12.87 14.01.88


Time

(*&B3$'*9[oZ) #"%$'&-=¹./-+1'(C9B)¹9;Gt(C&B3$'6(g+9$'$-./@9B) = (*)&g1/921'h+$Q".'>9;ow-x *)(K]µ©$(#")&BC-.8a


+8(C$+8C-.0") = .'f43 "%$'-.0=-)91/PUJ(C9B*"%1'(C9B),.!9;71' +9B) = (C1'(C9B),")9$Q5"^aL+9B) =,(C1'(C9B) "LoQb   ") =
3 ) +9B) = (*1'(C9B) " oQb
  -./1'(#5"%1/-.$'-.'@T-+1'(*U-C[]H 7=91/1/-=D#(*).'9dcL.<1'7@,"%1'h9;t1'73,) +9B)JI
= (C1'(C9B) "oQb  -.'1'(*5"%1/a1'= ".'-=v*(*)o.'9dcL.L1' :@,"%1'g9;i1' o+9B) =,(C1'(C9B) "oQb  -./1'(#5"%1/
") =p1'C9B) &= ".'-=h#(*)b.'9Wc.1'+9B) =,(C1'(C9B) ")9$Q5"-./1'(*5"%1/]

q *
GPD Normal
8

8
6

6
Residuals

Residuals
4

4
2

2
0

15.11.76 15.11.82 15.11.88 15.11.94 15.11.76 15.11.82 15.11.88 15.11.94


Time Time

 9[Wo D
(*&B3$'px ha b
+8-= ") +0$'-.(*= 3 "*.7;\9$1'pq 
./8$(*-.o"),= M   d­x 4] ),=8$:1' 0)43 *HX[KI
@T91' -.'(*.H1' "%1<1'S=[J) "5(*+8.V(*) O`wWYV") =z1'b1'"(*T9;©1'S(*),)9WU%"%1'(C9B)0= (*./1/$Q(C6,31'(C9B)R"%$'+9$'$'-+1'C[
>&
-./1'(*5"%1/-=aK1'-./L.9B3 *=E "WU5E-") 88$'9]i<$(*&BX1M&$"%@G.'9dcL.Z+8C-"%$Z8U4(*= -) +L"%&B"(*) .'1i1'

+9B) = (C1'(C9B),") 9$5"*(C1„[v".'.3 5E@ 1'(C9B) ˆ1'C8;A1b&$"%@,2.' 9WcL.b1'"..'3 5E@ 1'(*9B)v9;m"h+9B) =,(C1'(C9B) "
mG q
Zn 1'"(*t(*.b5E9$'$'-"./9B),"%6,C] 91/E1' "%1b1'8$'E"%$'E9B) *[ Jw p)9$5"j$'-.'(#= 3 "*.".b9@ @9B./-=
q %mG C Lq
1/9 yJw Zn $'-.(*= 3 "*. B$'8;A8$Z1/9:"%6,C S1/9:.'8L1' "%1Z+9B),= (C1'(C9B) ",)9$5"*(*1~[o9WU8$'-./1'(#5"%1/-.m1'
-B ha6b
+9B) = (C1'(C9B),"fK3 ")K1'(*C 8  ;\9$1' 7q

= "%1'"J]

qx

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