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 | 3.70000005 | 3.90000010 | 2.80000019 | 3.29999995 | 3.70000005 | 3.90000010 | 1.39999998 | 3.50000000 |
ES | 6.09999990 | 4.40000010 | 3.20000005 | 3.79999995 | 4.59999990 | 5.90000010 | 1.89999998 | 4.69999981 |