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 | 3.6 | 2.9 | 2.3 | 2.2 | 2.5 | 3.5 | 1.6 | 2.8 |
ES | 5.4 | 3.3 | 2.7 | 2.5 | 3.2 | 5.7 | 2.2 | 3.8 |
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 3.6 | 2.9 | 2.3 | 2.2 | 2.5 | 3.5 | 1.6 | 2.8 |
ES | 5.4 | 3.3 | 2.7 | 2.5 | 3.2 | 5.7 | 2.2 | 3.8 |