Advances in Risk Management

341

1991

0

5

10

15

20

25

30

35

40

Variance

1992199319941995199619971998199920002001200220032004

1991

0

5

10

15

20

25

30

Variance

1992199319941995199619971998199920002001200220032004

0

5

10

15

20

25

30

Variance

199319941995199619971998199920002001200220032004

Variance CAC4O

Variance MIDCAC

Variance FTSE

Variance SMALL CAP

Variance DAX

Variance SDAX

Figure 17.2Annualized conditional volatility of the stock indices
over the studied period