CHAPTER OUTLINE
2.1  The Srocllastic Behavior of Rcturns
     2.1.1  Revisit.ing the assumprions
      2,1.2  The distribution of intcrest raie changes
     2.J.3  FaL tails
       2.] .4   Explaining fo【Iails
     2.1.5  Effccis of volaLility cba】]gcs
    2.I.(J  Can (cc)ncliiioncil) normaliI、? bc salvaged?
     2.1.7  Normality cannot be salvagcd
2.2  VaR Estimaiion Approaches
      2.2.1  Cyclical volatility  .
    2.2.2  HistoricaJ stanciard dcviaiion
    2.2.3  Implcnlcntation considcrations
        2.2.4   Exponcntia] smoothing - RiskMetricsTryl volatil:
      2.2.5 . Nonparametric volatili Ly [orecasting
     2.2.6  A comparison of metbocls
 .  ' 2.2.7  The hybrid ap.proach
2.3  Rerurn Aggregation and VaR
2,4  In]plicd Volatility as a Prcdiaor o[ Futurc Volatili Ly
2.5  Long Horizon Volarility and VaR
2;6  Mean Reversion ancl Long Horizori Volatiliiy
2.7  (JorrelaLion Measurelnem
2.8 SlJmmary
Appendix 2.1  Backtc'srin8 Mcthodology and Results