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 | 4.69999981 | 3.70000005 | 2.40000010 | 3.29999995 | 3.59999990 | 4.50000000 | 2.00000000 | 3.70000005 |
ES | 5.90000010 | 4.19999981 | 2.70000005 | 3.79999995 | 4.90000010 | 6.80000019 | 2.50000000 | 4.69999981 |