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 | 4.30000019 | 4.00000000 | 2.20000005 | 3.09999990 | 3.40000010 | 4.40000010 | 2.00000000 | 3.50000000 |
| ES | 5.40000010 | 4.50000000 | 2.50000000 | 3.50000000 | 4.40000010 | 5.40000010 | 2.20000005 | 4.30000019 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
