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 | 4.3 | 3.9 | 2.3 | 3.1 | 3.3 | 4.4 | 1.9 | 3.6 |
| ES | 5.4 | 4.5 | 2.7 | 3.5 | 4.4 | 5.4 | 2.0 | 4.3 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
