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 | 1.0 | 0.8 | 0.6 | 0.7 | 0.8 | 1.0 | 1.6 | 0.8 |
| ES | 1.3 | 0.9 | 0.7 | 0.8 | 1.0 | 1.3 | 1.9 | 1.0 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
