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 | 2.2 | 2.2 | 1.3 | 2.0 | 2.0 | 2.3 | 1.7 | 2.0 |
ES | 3.1 | 2.5 | 1.5 | 2.3 | 2.5 | 3.0 | 2.0 | 2.5 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 2.2 | 2.2 | 1.3 | 2.0 | 2.0 | 2.3 | 1.7 | 2.0 |
ES | 3.1 | 2.5 | 1.5 | 2.3 | 2.5 | 3.0 | 2.0 | 2.5 |