{
  "generatedAt": "2026-09-04T12:00:00+02:00",
  "seed": 20260904,
  "scenariosPerMonteCarloModel": 1000000,
  "horizonTradingDays": 10,
  "confidenceLevel": 0.99,
  "assumptions": {
    "iidNormal": "Daily mean 0, daily volatility 1%.",
    "arPositive": "Stationary AR(1) returns with phi=0.15 and 1% unconditional daily volatility.",
    "garch": "Normal conditional returns; long-run volatility 1%; persistence alpha+beta=0.97; next-day volatility 0.5% or 2.5%.",
    "studentT4": "Independent Student-t innovations with 4 degrees of freedom, rescaled to 1% daily volatility.",
    "rareJumps": "Independent 0.8% Gaussian diffusion plus a symmetric +8%/-8% jump with total daily probability 0.5%."
  },
  "interpretation": "ratio = model-consistent 10-day 99% VaR divided by square-root-of-time 10-day 99% VaR; values above 1 mean the shortcut underestimates risk.",
  "results": [
    {
      "id": "iid-normal",
      "labelFr": "Gaussien i.i.d.",
      "labelEn": "i.i.d. Gaussian",
      "method": "analytic",
      "oneDayVar": 0.023263478740000003,
      "rootTimeTenDayVar": 0.07356557911730405,
      "modelTenDayVar": 0.07356557911730405,
      "ratio": 1,
      "errorPercent": 0
    },
    {
      "id": "ar-positive",
      "labelFr": "AR(1), phi = 0,15",
      "labelEn": "AR(1), phi = 0.15",
      "method": "analytic",
      "ratio": 1.1451719021005304,
      "errorPercent": 14.517190210053045
    },
    {
      "id": "garch-calm",
      "labelFr": "GARCH, jour calme",
      "labelEn": "GARCH, calm day",
      "method": "analytic",
      "ratio": 1.1722803713059788,
      "errorPercent": 17.228037130597883
    },
    {
      "id": "garch-stress",
      "labelFr": "GARCH, jour tendu",
      "labelEn": "GARCH, stressed day",
      "method": "analytic",
      "ratio": 0.9461566702688307,
      "errorPercent": -5.384332973116934
    },
    {
      "id": "student-t4",
      "labelFr": "Student-t, 4 ddl",
      "labelEn": "Student t, 4 df",
      "method": "monte-carlo",
      "oneDayVar": 0.02655314072710837,
      "rootTimeTenDayVar": 0.08396840372864196,
      "modelTenDayVar": 0.07650099241901467,
      "ratio": 0.9110687951892061,
      "errorPercent": -8.893120481079386
    },
    {
      "id": "rare-jumps",
      "labelFr": "Sauts rares symétriques",
      "labelEn": "Rare symmetric jumps",
      "method": "monte-carlo",
      "oneDayVar": 0.019426766629190174,
      "rootTimeTenDayVar": 0.06143283012079266,
      "modelTenDayVar": 0.08669422264386885,
      "ratio": 1.4112034635781199,
      "errorPercent": 41.12034635781199
    }
  ]
}