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 | 2.40000010 | 2.70000005 | 3.00000000 | 4.90000010 | 2.09999990 | 3.70000005 |
ES | 10.30000019 | 5.50000000 | 2.70000005 | 3.09999990 | 4.19999981 | 9.19999981 | 3.79999995 | 5.79999971 |