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 | 3.50000000 | 3.79999995 | 4.19999981 | 5.40000010 | 1.79999995 | 4.59999990 |
| ES | 8.00000000 | 5.09999990 | 4.09999990 | 4.30000019 | 5.50000000 | 10.89999962 | 2.70000005 | 6.30000019 |