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 | 4.19999981 | 3.59999990 | 4.00000000 | 3.00000000 | 3.50000000 | 4.09999990 | 1.39999998 | 3.70000005 |
| ES | 6.70000029 | 4.19999981 | 4.59999990 | 3.40000010 | 4.50000000 | 7.19999981 | 2.09999990 | 5.09999990 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
