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38 31-Dec-09 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!39 31-Jan-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!40 28-Feb-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!41 31-Mar-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!42 30-Apr-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!43 31-May-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!44 30-Jun-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!45 31-Jul-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!46 31-Aug-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!47 30-Sep-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!48 31-Oct-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!49 30-Nov-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!50 31-Dec-10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!51 31-Jan-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!52 28-Feb-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!53 31-Mar-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!54 30-Apr-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

55 31-May-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!56 30-Jun-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!57 31-Jul-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!58 31-Aug-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!59 30-Sep-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!60 31-Oct-11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

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small sample )

Normal Method scaling by SQRT of Time Modified M

Subsequent Mean Vol Normal 95. Normal 5.0% VaR Mean

100.00 =($G$2/12 =($G$3/SQRT(12))*SQRT(S47)#VALUE! 1 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!

3 1

- A u g - 1

1

3 0

- S e p - 1

1

3 1

- O c t - 1 1

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#VALUE! 2 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 3 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 4 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 5 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 6 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 7 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 8 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 9 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 10 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 11 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 12 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 13 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 14 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 15 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 16 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 17 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 18 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!

#VALUE! 19 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 20 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 21 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 22 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 23 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!#VALUE! 24 #VALUE! #DIV/0! #VALUE! #VALUE! #VALUE!

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ethod using Intervaling Effect of Wingender

Vol Skew Kurt Modified 9 Modified 5.0% VaR

#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

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#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

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