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 | 8.69999981 | 5.50000000 | 3.09999990 | 4.19999981 | 4.90000010 | 7.59999990 | 2.79999995 | 5.60000038 |
ES | 10.19999981 | 6.30000019 | 3.50000000 | 4.80000019 | 7.10000038 | 12.10000038 | 3.40000010 | 7.29999971 |