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 | 4.0 | 3.5 | 3.2 | 2.9 | 3.8 | 3.9 | 1.4 | 3.5 |
| ES | 5.8 | 4.0 | 3.6 | 3.3 | 4.9 | 6.0 | 1.8 | 4.6 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
