FHS Value at Risk Matlab code problem?

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Yoshiko Kawashima 2011-12-8

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https://ww2.mathworks.cn/matlabcentral/answers/23465-fhs-value-at-risk-matlab-code-problem

When I run the MATLAB code (Using Bootstrapping and Filtered Historical Simulation to Evaluate Market Risk) taken from the below address http://www.mathworks.co.uk/products/econometrics/demos.html?file=/products/demos/shipping/econ/Demo_RiskFHS.html

for a portfolio of stock indexes I get the results of Maximum Simulated Loss: 42% Maximum Simulated Gain: 17% Simulated 90% VaR: -4% Simulated 95% VaR: -8% Simulated 99% VaR: -14%

But when I run the code with a portfolio of Air Freight Rates (with Kurtosis of 12) I receive these results Maximum Simulated Loss: 450% Maximum Simulated Gain: 800% Simulated 90% VaR: -65% Simulated 95% VaR: -85% Simulated 99% VaR: -190% Does anyone know why I get unexplained results of 450% and 800%?

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the cyclist 2011-12-9

Yoshiko, if you want to receive answers here, I suggest that you stop deleting previous questions in which people have been trying to help you with solutions. You have now deleted at least two very similar questions in which you received advice that you did not respond to.

Yoshiko Kawashima 2011-12-9

Hi, the previous one had no relevant positive answer. I am not worried of the administration point of view I am just looking for a sensible statistical solution to my question.

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