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 | 2.20000005 | 2.09999990 | 2.09999990 | 1.89999998 | 2.09999990 | 2.40000010 | 1.29999995 | 2.09999990 |
ES | 3.59999990 | 2.40000010 | 2.40000010 | 2.20000005 | 2.60000014 | 3.50000000 | 1.60000002 | 2.80000019 |