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 | 6.70000029 | 6.50000000 | 6.89999962 | 6.80000019 | 7.19999981 | 6.80000019 | 1.10000002 | 6.80000019 |
ES | 9.89999962 | 7.50000048 | 7.90000057 | 7.80000019 | 8.80000019 | 10.40000057 | 1.39999998 | 8.69999981 |