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 | 3.1 | 2.8 | 1.3 | 1.8 | 2.0 | 3.1 | 2.5 | 2.4 |
| ES | 5.2 | 3.2 | 1.4 | 2.1 | 2.5 | 6.0 | 4.1 | 3.4 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
