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 | 7.90000057 | 5.40000010 | 4.50000000 | 5.29999971 | 6.30000019 | 7.50000048 | 1.79999995 | 6.09999990 |
ES | 10.10000038 | 6.09999990 | 5.09999990 | 6.09999990 | 9.00000000 | 11.39999962 | 2.20000005 | 8.00000000 |