--- title: Firms layout: default ---
Non-overlapping, 99% VaR | Non-overlapping, 99% ES | 10-day overlapping, 99% VaR | 10-day overlapping, 99% ES | Non-overlapping, 97.5% VaR | Non-overlapping, 97.5% ES | 10-day overlapping, 97.5% VaR | 10-day overlapping, 97.5% ES | |
---|---|---|---|---|---|---|---|---|
obs | 64.00 | 64.00 | 64.00 | 64.00 | 64.00 | 64.00 | 64.00 | 64.00 |
min | 1.39 | 1.62 | 1.33 | 1.42 | 1.30 | 1.44 | 1.19 | 1.31 |
max | 4.19 | 4.85 | 7.44 | 7.44 | 4.10 | 4.37 | 7.44 | 7.44 |
mean | 1.82 | 2.05 | 3.30 | 3.52 | 1.79 | 1.88 | 3.24 | 3.35 |
st.dev. | 0.45 | 0.53 | 1.48 | 1.45 | 0.44 | 0.47 | 1.49 | 1.47 |
Q5% | 1.43 | 1.64 | 1.74 | 1.96 | 1.35 | 1.49 | 1.74 | 1.74 |
Q50% | 1.73 | 1.90 | 2.91 | 3.17 | 1.67 | 1.80 | 2.80 | 2.98 |
Q95% | 2.51 | 2.89 | 5.98 | 5.98 | 2.39 | 2.61 | 5.98 | 5.98 |
Non-overlapping, 99% VaR | Non-overlapping, 99% ES | 10-day overlapping, 99% VaR | 10-day overlapping, 99% ES | Non-overlapping, 97.5% VaR | Non-overlapping, 97.5% ES | 10-day overlapping, 97.5% VaR | 10-day overlapping, 97.5% ES | |
---|---|---|---|---|---|---|---|---|
obs | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 |
min | 1.47 | 1.72 | 1.31 | 1.90 | 1.32 | 1.54 | 1.15 | 1.50 |
max | 2.50 | 2.97 | 7.47 | 10.13 | 2.24 | 2.63 | 6.24 | 8.28 |
mean | 1.68 | 1.98 | 2.48 | 3.43 | 1.50 | 1.76 | 2.22 | 2.76 |
st.dev. | 0.16 | 0.20 | 0.99 | 1.51 | 0.14 | 0.17 | 0.84 | 1.16 |
Q5% | 1.49 | 1.76 | 1.44 | 1.94 | 1.34 | 1.57 | 1.30 | 1.53 |
Q50% | 1.64 | 1.94 | 2.23 | 3.02 | 1.47 | 1.73 | 2.00 | 2.45 |
Q95% | 2.01 | 2.39 | 4.30 | 6.12 | 1.79 | 2.12 | 3.82 | 4.91 |
Non-overlapping, 99% VaR | Non-overlapping, 99% ES | 10-day overlapping, 99% VaR | 10-day overlapping, 99% ES | Non-overlapping, 97.5% VaR | Non-overlapping, 97.5% ES | 10-day overlapping, 97.5% VaR | 10-day overlapping, 97.5% ES | |
---|---|---|---|---|---|---|---|---|
obs | 3476.00 | 3476.00 | 3467.00 | 3467.00 | 3476.00 | 3476.00 | 3467.00 | 3467.00 |
min | 1.27 | 1.45 | 1.04 | 1.13 | 1.17 | 1.33 | 1.05 | 1.05 |
max | 15.29 | 22.50 | 20.05 | 32.44 | 13.33 | 17.58 | 15.25 | 24.16 |
mean | 1.87 | 2.28 | 2.37 | 2.83 | 1.69 | 1.98 | 2.21 | 2.50 |
st.dev. | 0.67 | 1.04 | 1.07 | 1.63 | 0.56 | 0.79 | 0.87 | 1.24 |
Q5% | 1.40 | 1.61 | 1.27 | 1.34 | 1.30 | 1.46 | 1.24 | 1.28 |
Q50% | 1.70 | 2.01 | 2.10 | 2.35 | 1.55 | 1.78 | 2.02 | 2.17 |
Q95% | 2.73 | 3.66 | 4.38 | 6.15 | 2.41 | 3.01 | 3.77 | 4.92 |