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 | 3.59999990 | 4.40000010 | 5.20000029 | 7.69999981 | 2.40000010 | 5.90000010 |
ES | 10.19999981 | 6.30000019 | 4.19999981 | 5.00000000 | 7.69999981 | 12.10000038 | 2.90000010 | 7.59999990 |