Returns
Data density with normal and t(3)
Value-at-Risk
Expected Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.9 | 4.2 | 3.0 | 3.3 | 3.6 | 4.7 | 1.6 | 4.0 |
| ES | 6.0 | 4.8 | 3.5 | 3.7 | 4.8 | 6.2 | 1.8 | 4.8 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
