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 | 3.70000005 | 3.40000010 | 3.20000005 | 4.30000019 | 4.19999981 | 1.39999998 | 3.79999995 |
| ES | 6.70000029 | 4.19999981 | 3.90000010 | 3.70000005 | 5.69999981 | 6.89999962 | 1.89999998 | 5.20000029 |