--- 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 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 |
min | 1.45 | 1.49 | 1.41 | 1.47 | 1.49 | 1.45 | 1.56 | 1.41 |
max | 2.57 | 2.82 | 5.65 | 5.59 | 2.50 | 2.63 | 5.70 | 5.64 |
mean | 1.91 | 2.05 | 2.36 | 2.39 | 1.87 | 1.94 | 2.51 | 2.36 |
st.dev. | 0.25 | 0.28 | 0.78 | 0.76 | 0.23 | 0.26 | 0.76 | 0.77 |
Q5% | 1.51 | 1.56 | 1.48 | 1.52 | 1.55 | 1.51 | 1.63 | 1.48 |
Q50% | 1.90 | 2.05 | 2.16 | 2.25 | 1.84 | 1.94 | 2.35 | 2.21 |
Q95% | 2.39 | 2.58 | 3.50 | 3.48 | 2.33 | 2.44 | 3.58 | 3.49 |
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 | 168.00 | 168.00 | 168.00 | 168.00 | 168.00 | 168.00 | 168.00 | 168.00 |
min | 1.33 | 1.62 | 1.34 | 1.54 | 1.22 | 1.44 | 1.13 | 1.34 |
max | 2.80 | 3.20 | 4.34 | 4.39 | 2.67 | 2.91 | 4.34 | 4.34 |
mean | 1.75 | 2.18 | 2.59 | 3.06 | 1.58 | 1.88 | 2.28 | 2.66 |
st.dev. | 0.27 | 0.31 | 0.70 | 0.84 | 0.26 | 0.28 | 0.64 | 0.72 |
Q5% | 1.41 | 1.71 | 1.46 | 1.67 | 1.27 | 1.50 | 1.34 | 1.47 |
Q50% | 1.70 | 2.16 | 2.71 | 3.17 | 1.51 | 1.83 | 2.33 | 2.76 |
Q95% | 2.22 | 2.77 | 3.52 | 4.23 | 2.03 | 2.39 | 3.22 | 3.64 |
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 | 376.00 | 376.00 | 376.00 | 376.00 | 376.00 | 376.00 | 376.00 | 376.00 |
min | 1.44 | 1.68 | 1.31 | 1.41 | 1.30 | 1.51 | 1.14 | 1.29 |
max | 9.14 | 10.71 | 13.66 | 13.63 | 10.23 | 9.57 | 13.69 | 13.66 |
mean | 2.97 | 3.48 | 2.84 | 3.02 | 2.85 | 3.11 | 2.70 | 2.84 |
st.dev. | 1.61 | 1.89 | 1.43 | 1.53 | 1.80 | 1.69 | 1.42 | 1.46 |
Q5% | 1.54 | 1.78 | 1.40 | 1.49 | 1.39 | 1.60 | 1.29 | 1.39 |
Q50% | 2.33 | 2.73 | 2.57 | 2.79 | 2.16 | 2.42 | 2.42 | 2.55 |
Q95% | 6.76 | 7.89 | 5.17 | 5.48 | 7.12 | 7.06 | 4.96 | 5.24 |
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 | 3931.00 | 3931.00 | 3922.00 | 3922.00 | 3931.00 | 3931.00 | 3922.00 | 3922.00 |
min | 1.07 | 1.23 | 1.06 | 1.08 | 1.08 | 1.10 | 1.04 | 1.05 |
max | 9.14 | 10.71 | 14.54 | 23.32 | 10.23 | 9.57 | 13.69 | 17.44 |
mean | 2.20 | 2.77 | 2.75 | 3.12 | 1.98 | 2.36 | 2.48 | 2.78 |
st.dev. | 0.91 | 1.26 | 1.24 | 1.50 | 0.84 | 1.01 | 1.11 | 1.28 |
Q5% | 1.30 | 1.39 | 1.33 | 1.42 | 1.26 | 1.32 | 1.28 | 1.34 |
Q50% | 1.94 | 2.44 | 2.50 | 2.84 | 1.75 | 2.07 | 2.26 | 2.53 |
Q95% | 3.99 | 5.25 | 5.11 | 5.84 | 3.45 | 4.37 | 4.65 | 5.19 |