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 | 3.70000005 | 3.50000000 | 4.00000000 | 5.00000000 | 1.50000000 | 4.09999990 |
| ES | 6.09999990 | 3.79999995 | 4.19999981 | 4.00000000 | 5.50000000 | 6.30000019 | 1.70000005 | 5.00000000 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
