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 | 7.0 | 5.4 | 3.6 | 4.2 | 5.0 | 6.4 | 1.9 | 5.3 |
ES | 8.8 | 6.2 | 4.2 | 4.8 | 6.6 | 9.0 | 2.2 | 6.6 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 7.0 | 5.4 | 3.6 | 4.2 | 5.0 | 6.4 | 1.9 | 5.3 |
ES | 8.8 | 6.2 | 4.2 | 4.8 | 6.6 | 9.0 | 2.2 | 6.6 |