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 | 2.80000019 | 3.00000000 | 3.09999990 | 4.09999990 | 1.50000000 | 3.50000000 |
| ES | 4.90000010 | 4.00000000 | 3.20000005 | 3.40000010 | 3.79999995 | 5.09999990 | 1.60000002 | 4.09999990 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
