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 | 3.59999990 | 4.59999990 | 5.60000038 | 6.00000000 | 1.70000005 | 5.29999971 |
| ES | 7.29999971 | 6.50000000 | 4.09999990 | 5.29999971 | 9.00000000 | 7.69999981 | 2.20000005 | 6.70000029 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
