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 | 4.90000010 | 3.29999995 | 2.89999986 | 4.40000010 | 5.09999990 | 5.00000000 | 1.79999995 | 4.30000019 |
ES | 6.09999990 | 3.79999995 | 3.29999995 | 5.00000000 | 7.00000000 | 6.30000019 | 2.20000005 | 5.20000029 |