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 | 6.4 | 6.4 | 5.4 | 5.7 | 6.0 | 6.6 | 1.2 | 6.1 |
| ES | 9.2 | 7.3 | 6.1 | 6.6 | 7.3 | 9.5 | 1.5 | 7.7 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
