The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

Centennial changes in the solar wind speed and in the open solar flux

We use combinations of geomagnetic indices, based on both variation range and hourly means, to derive the solar wind flow speed, the interplanetary magnetic field strength at 1 AU and the total open solar flux between 1895 and the present. We analyze the effects of the regression procedure and geomagnetic indices used by adopting four analysis methods. These give a mean interplanetary magnetic field strength increase of 45.1 ± 4.5% between 1903 and 1956, associated with a 14.4 ± 0.7% rise in the solar wind speed. We use averaging timescales of 1 and 2 days to allow for the difference between the magnetic fluxes threading the coronal source surface and the heliocentric sphere at 1 AU. The largest uncertainties originate from the choice of regression procedure: the average of all eight estimates of the rise in open solar flux is 73.0 ± 5.0%, but the best procedure, giving the narrowest and most symmetric distribution of fit residuals, yields 87.3 ± 3.9%.

Conditional symmetric instability in sting-jet storms

Sting jets are transient mesoscale jets of air that descend from the tip of the cloud head towards the top of the boundary layer in severe extratropical cyclones and can lead to damaging surface wind gusts. This recently identified jet is distinct from the well-documented jets associated with the cold and warm conveyor belts. One mechanism proposed for their development is the release of conditional symmetric instability (CSI). Here the spatial distribution and temporal evolution of several CSI diagnostics in four severe storms are analysed. A sting jet has been identified in three of these storms; for comparison, we also analysed one storm that did not have a sting jet, even though it hadmany of the apparent features of sting-jet storms. The sting-jet storms are distinct from the non-sting-jet storms by having much greater andmore extensive conditional instability (CI) and CSI. CSI is released by ascending air parcels in the cloud head in two of the sting-jet storms and by descending air parcels in the other sting-jet storm. By contrast, only weak CI to ascending air parcels is present at the cloud-head tip in the non-sting-jet storm. CSI released by descending air parcels, as diagnosed by decaying downdraught slantwise convective available potential energy (DSCAPE), is collocated with the sting jets in all three sting-jet storms and has a localisedmaximum in two of them. Consistent evolutions of saturated moist potential vorticity are found.We conclude that CSI release has a role in the generation of the sting jet, that the sting jet may be driven by the release of instability to both ascending and descending parcels, and that DSCAPE could be used as a discriminating diagnostic for the sting jet based on these four case-studies.