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 | 4.59999990 | 4.80000019 | 2.60000014 | 2.50000000 | 2.80000019 | 4.90000010 | 2.00000000 | 3.70000005 |
ES | 10.30000019 | 5.50000000 | 3.00000000 | 2.80000019 | 3.90000010 | 9.19999981 | 3.70000005 | 5.79999971 |