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 | 4.50000000 | 5.79999971 | 6.50000000 | 5.40000010 | 1.50000000 | 5.50000000 |
ES | 8.00000000 | 5.00000000 | 5.09999990 | 6.70000029 | 8.39999962 | 10.89999962 | 2.20000005 | 7.40000010 |