Table 4.

The predictive means, SD’s and 95% credibility intervals of VaR at times $T=1001,..,1005$ with probabilities $\alpha$=0.05 and 0.01 based on 100 replicates

	$Va{R}_{1000+1}$	$Va{R}_{1000+2}$	$Va{R}_{1000+3}$	$Va{R}_{1000+4}$	$Va{R}_{1000+5}$
Mean${}^1$	0.5165	0.7085	0.8519	0.9718	1.0783
	(0.5029,0.5302)	(0.6911,0.7260)	(0.8315,0.8723)	(0.9486,0.9950)	(1.0524,1.1043)
SD${}^1$	0.0729	0.0933	0.1090	0.1241	0.1385
Mean${}^2$	0.7458	1.0332	1.2477	1.4287	1.5866
	(0.7256,0.7660)	(1.0073,1.0591)	(1.2176,1.2778)	(1.3946,1.4628)	(1.5486,1.6246)
SD${}^2$	0.1089	0.1397	0.1621	0.1836	0.2047

${}^1$ VaR with probability 0.05

${}^2$ VaR with probability 0.01