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 | 3.8 | 3.9 | 2.2 | 3.0 | 3.5 | 4.0 | 1.8 | 3.4 |
ES | 6.2 | 4.5 | 2.5 | 3.5 | 4.4 | 6.2 | 2.5 | 4.6 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 3.8 | 3.9 | 2.2 | 3.0 | 3.5 | 4.0 | 1.8 | 3.4 |
ES | 6.2 | 4.5 | 2.5 | 3.5 | 4.4 | 6.2 | 2.5 | 4.6 |