--- 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 | 106.00 | 106.00 | 106.00 | 106.00 | 106.00 | 106.00 | 106.00 | 106.00 |
min | 1.74 | 1.98 | 1.87 | 1.96 | 1.61 | 1.81 | 1.71 | 1.83 |
max | 3.05 | 3.31 | 10.77 | 17.34 | 3.02 | 3.15 | 8.22 | 12.94 |
mean | 2.44 | 2.67 | 4.04 | 4.34 | 2.41 | 2.53 | 3.67 | 4.00 |
st.dev. | 0.36 | 0.36 | 1.30 | 1.79 | 0.37 | 0.37 | 1.10 | 1.42 |
Q5% | 1.79 | 2.07 | 2.11 | 2.21 | 1.74 | 1.87 | 1.92 | 2.07 |
Q50% | 2.42 | 2.62 | 3.82 | 4.03 | 2.40 | 2.50 | 3.49 | 3.74 |
Q95% | 2.97 | 3.22 | 5.62 | 5.99 | 2.94 | 3.07 | 5.09 | 5.59 |
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 | 14.00 | 14.00 | 14.00 | 14.00 | 14.00 | 14.00 | 14.00 | 14.00 |
min | 1.93 | 2.46 | 1.66 | 1.66 | 1.72 | 2.08 | 1.66 | 1.66 |
max | 2.51 | 3.23 | 4.29 | 4.29 | 2.14 | 2.72 | 4.29 | 4.29 |
mean | 2.12 | 2.72 | 2.68 | 2.68 | 1.87 | 2.30 | 2.69 | 2.68 |
st.dev. | 0.18 | 0.25 | 0.82 | 0.82 | 0.13 | 0.20 | 0.82 | 0.82 |
Q5% | 1.93 | 2.46 | 1.85 | 1.85 | 1.73 | 2.09 | 1.85 | 1.85 |
Q50% | 2.07 | 2.64 | 2.45 | 2.45 | 1.84 | 2.24 | 2.45 | 2.45 |
Q95% | 2.39 | 3.10 | 4.05 | 4.05 | 2.10 | 2.60 | 4.05 | 4.05 |
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 | 1537.00 | 1537.00 | 1537.00 | 1537.00 | 1537.00 | 1537.00 | 1537.00 | 1537.00 |
min | 1.14 | 1.26 | 1.04 | 1.08 | 1.06 | 1.16 | 1.05 | 1.05 |
max | 11.01 | 12.35 | 10.77 | 17.34 | 10.98 | 10.51 | 9.99 | 12.94 |
mean | 1.92 | 2.16 | 2.73 | 2.89 | 1.82 | 1.97 | 2.61 | 2.73 |
st.dev. | 0.92 | 1.00 | 1.30 | 1.53 | 0.92 | 0.89 | 1.22 | 1.35 |
Q5% | 1.32 | 1.47 | 1.32 | 1.38 | 1.25 | 1.36 | 1.29 | 1.33 |
Q50% | 1.71 | 1.98 | 2.46 | 2.58 | 1.59 | 1.78 | 2.36 | 2.46 |
Q95% | 2.95 | 3.22 | 5.02 | 5.32 | 2.86 | 3.01 | 4.68 | 4.97 |