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 | 3.09999990 | 2.80000019 | 2.00000000 | 2.29999995 | 2.40000010 | 3.09999990 | 1.60000002 | 2.60000014 |
ES | 5.20000029 | 3.20000005 | 2.20000005 | 2.60000014 | 3.00000000 | 6.00000000 | 2.70000005 | 3.70000005 |