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 | 4.6 | 4.8 | 3.4 | 4.1 | 4.4 | 4.9 | 1.5 | 4.4 |
| ES | 10.3 | 5.5 | 3.9 | 4.7 | 6.1 | 9.2 | 2.7 | 6.6 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
