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 | 2.00000000 | 1.79999995 | 1.60000002 | 1.50000000 | 2.20000005 | 2.00000000 | 1.50000000 | 1.89999998 |
ES | 2.50000000 | 2.00000000 | 1.89999998 | 1.70000005 | 4.50000000 | 2.50000000 | 2.59999990 | 2.50000000 |