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 | 6.40000010 | 5.69999981 | 5.00000000 | 5.20000029 | 6.50000000 | 6.09999990 | 1.29999995 | 5.79999971 |
| ES | 7.40000010 | 6.50000000 | 5.69999981 | 5.90000010 | 9.70000076 | 8.00000000 | 1.70000005 | 7.19999981 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
