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 | 4.50000000 | 4.30000019 | 4.00000000 | 4.19999981 | 4.50000000 | 4.69999981 | 1.20000005 | 4.40000010 |
| ES | 6.70000029 | 4.90000010 | 4.50000000 | 4.80000019 | 6.00000000 | 7.00000000 | 1.50000000 | 5.69999981 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
