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 | 4.09999990 | 5.29999971 | 5.40000010 | 6.00000000 | 1.60000002 | 5.50000000 |
| ES | 7.29999971 | 6.50000000 | 4.59999990 | 6.09999990 | 8.19999981 | 7.69999981 | 1.79999995 | 6.80000019 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
