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 | 2.6 | 2.1 | 1.4 | 1.6 | 1.8 | 2.4 | 1.8 | 2.0 |
ES | 3.3 | 2.4 | 1.6 | 1.8 | 2.3 | 3.5 | 2.1 | 2.5 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 2.6 | 2.1 | 1.4 | 1.6 | 1.8 | 2.4 | 1.8 | 2.0 |
ES | 3.3 | 2.4 | 1.6 | 1.8 | 2.3 | 3.5 | 2.1 | 2.5 |