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 | 11.00000000 | 9.19999981 | 7.00000000 | 8.39999962 | 9.19999981 | 10.50000000 | 1.60000002 | 9.19999981 |
ES | 13.19999981 | 10.50000000 | 8.10000038 | 9.60000038 | 12.19999981 | 13.89999962 | 1.70000005 | 11.30000019 |