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 | 6.40000010 | 6.40000010 | 5.29999971 | 5.40000010 | 5.69999981 | 6.59999990 | 1.20000005 | 6.00000000 |
ES | 9.19999981 | 7.29999971 | 6.00000000 | 6.19999981 | 6.89999962 | 9.50000000 | 1.60000002 | 7.50000048 |