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 | 4.19999981 | 3.50000000 | 1.50000000 | 1.79999995 | 1.89999998 | 4.09999990 | 2.70000005 | 2.80000019 |
ES | 4.90000010 | 4.00000000 | 1.70000005 | 2.09999990 | 2.29999995 | 5.20000029 | 3.00000000 | 3.40000010 |