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 | 7.00000000 | 5.40000010 | 4.50000000 | 4.69999981 | 5.29999971 | 6.50000000 | 1.60000002 | 5.60000038 |
ES | 8.90000057 | 6.19999981 | 5.20000029 | 5.40000010 | 7.10000038 | 9.09999943 | 1.79999995 | 7.00000000 |