RDP 1999-04: Value at Risk: On the Stability and Forecasting of the Variance-Covariance Matrix Appendix A: Stability Analysis

James Engel and Marianne Gizycki

May 1999

Table A1: Foreign Exchange
The proportion of stable matrices; per cent
  Covariances Correlation
Window length 125 250 500 750 1,250 125 250 500 750 1,250
USD versus
DEM 26 0 17 33 0 70 38 50 33 0
JPY 30 0 17 33 0 74 38 50 33 0
GBP 33 15 17 33 0 89 54 50 33 0
CHF 33 15 17 33 0 89 54 50 33 0
NLG 44 23 50 33 0 100 69 83 67 0
NZD 44 23 67 33 0 100 69 83 67 0
FRF 44 23 67 33 0 100 69 83 67 0
CAD 48 31 67 33 0 100 100 83 67 0
DEM versus
JPY 62 38 67 33 0 100 100 83 67 100
GBP 67 53 83 67 0 100 100 100 100 100
CHF 74 53 83 67 0 100 100 100 100 100
NLG 74 53 83 67 0 100 100 100 100 100
NZD 74 53 83 100 0 100 100 100 100 100
FRF 74 53 83 100 0 100 100 100 100 100
CAD 78 53 83 100 100 100 100 100 100 100
JPY versus
GBP 78 62 83 100 100 100 100 100 100 100
CHF 78 62 83 100 100 100 100 100 100 100
NLG 78 62 83 100 100 100 100 100 100 100
NZD 78 62 83 100 100 100 100 100 100 100
FRF 78 62 83 100 100 100 100 100 100 100
CAD 78 62 83 100 100 100 100 100 100 100
Table A2: Interest Rates
The proportion of stable matrices; per cent
  Covariances Correlations
Window length 125 250 500 750 1,250 125 250 500 750 1,250
BAB 90-day versus
Overnight cash 22 7 0 0 0 70 84 5 67 100
BAB 30-day 59 30 0 0 0 100 100 100 100 100
BAB 180-day 63 61 0 0 0 100 100 100 100 100
One-year bond 71 69 0 0 0 100 100 100 100 100
Two-year bond 70 69 17 0 0 100 100 100 100 100
Five-year bond 70 69 17 0 0 100 100 100 100 100
Ten-year bond 70 69 17 0 0 100 100 100 100 100