anjam and kirstee , as i have suspected the position as of 6 / 30 vs 7 / 19 makes the difference . the
first table first column is my var number with 6 / 30 position and gold & silver
prices , the second column is your var with 7 / 19 position and dummy
gold & silver prices . the second table first column is my var with 7 / 19
position and 6 / 30 gold & silver prices , the second column is as before .
i would ask you to plug the gold and silver prices and see what kind of
numbers you get in order to verify we are on the same page . please refer to
modelvar 2000 . xls that i have sent you for gold & silver prices and
volatilities .
thank you ,
cantekin
table 1
table 2