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 | 6.30000019 | 4.40000010 | 3.79999995 | 3.90000010 | 4.30000019 | 5.40000010 | 1.70000005 | 4.69999981 |
ES | 8.00000000 | 5.09999990 | 4.30000019 | 4.40000010 | 5.60000038 | 10.89999962 | 2.50000000 | 6.40000010 |