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 | 4.90000010 | 4.69999981 | 5.60000038 | 5.90000010 | 5.00000000 | 1.29999995 | 5.09999990 |
| ES | 10.30000019 | 5.60000038 | 5.40000010 | 6.40000010 | 8.19999981 | 8.80000019 | 1.89999998 | 7.50000048 |