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 | 3.90000010 | 3.50000000 | 3.20000005 | 3.20000005 | 3.50000000 | 3.70000005 | 1.20000005 | 3.50000000 |
| ES | 5.29999971 | 4.00000000 | 3.70000005 | 3.70000005 | 4.30000019 | 5.40000010 | 1.50000000 | 4.40000010 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
