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 | 2.50000000 | 3.00000000 | 3.29999995 | 4.40000010 | 1.79999995 | 3.59999990 |
ES | 5.40000010 | 4.50000000 | 2.80000019 | 3.40000010 | 4.30000019 | 5.40000010 | 1.89999998 | 4.30000019 |