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 | 8.7 | 5.5 | 4.1 | 4.5 | 5.5 | 7.8 | 2.1 | 6.0 |
| ES | 10.2 | 6.3 | 4.7 | 5.2 | 8.2 | 12.4 | 2.6 | 7.8 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
