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 | 5.69999981 | 3.90000010 | 5.50000000 | 5.50000000 | 6.00000000 | 1.60000002 | 5.50000000 |
ES | 7.29999971 | 6.50000000 | 4.50000000 | 6.30000019 | 8.69999981 | 7.69999981 | 1.89999998 | 6.89999962 |