Figure 3: VaRs of SPX.US at multiple frequencies. Notes: (1) the 5% VaR calculated under the confidence level of 95% is shown. (2) The shaded areas mark the major risk events between June, 2006, and March, 2021. The marked events are listed as follows: Event 1: Lehman bankruptcy (September15, 2008); Event 2: S&P downgraded Greece’s long-term sovereign credit rating from A- to BBB+ (December