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 | 1.70000005 | 2.00000000 | 1.50000000 | 1.70000005 | 0.00000000 | 1.70000005 | inf | 1.40000010 |
ES | 1.79999995 | 2.20000005 | 1.70000005 | 2.00000000 | 0.00000000 | 1.79999995 | inf | 1.60000002 |