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 | 3.50000000 | 4.00000000 | 4.40000010 | 4.69999981 | 1.29999995 | 4.19999981 |
| ES | 6.70000029 | 4.90000010 | 4.00000000 | 4.59999990 | 5.79999971 | 7.00000000 | 1.70000005 | 5.50000000 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
