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 | 4.7 | 3.7 | 2.4 | 3.2 | 3.5 | 4.5 | 2.0 | 3.7 |
ES | 5.9 | 4.2 | 2.8 | 3.7 | 4.7 | 6.8 | 2.5 | 4.7 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 4.7 | 3.7 | 2.4 | 3.2 | 3.5 | 4.5 | 2.0 | 3.7 |
ES | 5.9 | 4.2 | 2.8 | 3.7 | 4.7 | 6.8 | 2.5 | 4.7 |