--- 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 | 57.00 | 57.00 | 64.00 | 64.00 | 57.00 | 57.00 |
min | 2.13 | 2.21 | 1.28 | 1.55 | 1.73 | 2.21 | 1.21 | 1.37 |
max | 10.02 | 16.18 | 11.89 | 11.73 | 7.63 | 12.06 | 12.21 | 11.79 |
mean | 4.79 | 7.14 | 3.35 | 3.46 | 3.80 | 5.55 | 3.32 | 3.37 |
st.dev. | 2.07 | 3.28 | 2.09 | 2.02 | 1.58 | 2.46 | 2.12 | 2.06 |
Q5% | 2.26 | 3.23 | 1.42 | 1.65 | 1.85 | 2.57 | 1.38 | 1.47 |
Q50% | 4.33 | 6.48 | 2.50 | 2.52 | 3.43 | 5.06 | 2.50 | 2.50 |
Q95% | 8.58 | 13.16 | 6.42 | 6.42 | 6.73 | 10.01 | 6.42 | 6.42 |
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 | 1.45 | 1.75 | 1.35 | 1.95 | 1.28 | 1.53 | 1.10 | 1.44 |
max | 3.76 | 4.55 | 5.05 | 8.41 | 3.31 | 3.98 | 4.64 | 5.73 |
mean | 2.06 | 2.50 | 2.42 | 3.36 | 1.82 | 2.18 | 2.13 | 2.57 |
st.dev. | 0.36 | 0.45 | 1.00 | 1.57 | 0.32 | 0.39 | 0.80 | 1.09 |
Q5% | 1.60 | 1.95 | 1.41 | 1.96 | 1.41 | 1.70 | 1.14 | 1.50 |
Q50% | 2.01 | 2.44 | 2.09 | 2.66 | 1.77 | 2.13 | 1.96 | 2.22 |
Q95% | 2.62 | 3.22 | 4.77 | 6.92 | 2.32 | 2.79 | 3.54 | 5.10 |
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 | 1.59 | 1.73 | 1.60 | 1.54 | 1.59 | 1.63 | 1.78 | 1.57 |
max | 2.99 | 3.35 | 4.80 | 4.78 | 2.93 | 3.08 | 5.11 | 4.78 |
mean | 2.12 | 2.36 | 2.58 | 2.54 | 2.08 | 2.18 | 2.73 | 2.55 |
st.dev. | 0.35 | 0.40 | 0.74 | 0.74 | 0.31 | 0.37 | 0.76 | 0.74 |
Q5% | 1.68 | 1.86 | 1.71 | 1.66 | 1.72 | 1.72 | 1.88 | 1.68 |
Q50% | 2.05 | 2.27 | 2.45 | 2.44 | 1.98 | 2.11 | 2.60 | 2.44 |
Q95% | 2.77 | 3.10 | 3.90 | 3.89 | 2.68 | 2.86 | 4.14 | 3.88 |
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 | 1.18 | 1.28 | 1.10 | 1.15 | 1.18 | 1.19 | 1.05 | 1.09 |
max | 1.99 | 2.59 | 3.26 | 3.25 | 1.91 | 2.18 | 3.26 | 3.26 |
mean | 1.46 | 1.72 | 1.91 | 1.93 | 1.44 | 1.53 | 1.90 | 1.91 |
st.dev. | 0.19 | 0.35 | 0.45 | 0.44 | 0.17 | 0.24 | 0.45 | 0.45 |
Q5% | 1.23 | 1.34 | 1.24 | 1.26 | 1.23 | 1.25 | 1.20 | 1.24 |
Q50% | 1.40 | 1.60 | 1.91 | 1.93 | 1.41 | 1.46 | 1.88 | 1.90 |
Q95% | 1.86 | 2.42 | 2.61 | 2.61 | 1.78 | 2.03 | 2.61 | 2.61 |
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 | 1.69 | 1.96 | 1.35 | 1.51 | 1.53 | 1.76 | 1.16 | 1.31 |
max | 7.14 | 8.26 | 11.52 | 17.77 | 6.47 | 7.44 | 9.02 | 13.49 |
mean | 3.41 | 3.95 | 2.98 | 3.14 | 3.10 | 3.55 | 2.90 | 3.02 |
st.dev. | 0.94 | 1.08 | 1.36 | 1.89 | 0.87 | 0.98 | 1.18 | 1.52 |
Q5% | 2.15 | 2.50 | 1.65 | 1.69 | 1.96 | 2.24 | 1.65 | 1.66 |
Q50% | 3.30 | 3.83 | 2.68 | 2.70 | 2.98 | 3.44 | 2.67 | 2.68 |
Q95% | 5.10 | 5.90 | 5.46 | 5.69 | 4.74 | 5.31 | 5.16 | 5.47 |
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 | 6356.00 | 6356.00 | 6347.00 | 6347.00 | 6356.00 | 6356.00 | 6347.00 | 6347.00 |
min | 1.13 | 1.25 | 1.05 | 1.04 | 1.05 | 1.16 | 1.05 | 1.05 |
max | 10.57 | 16.88 | 15.81 | 25.08 | 8.09 | 12.65 | 12.21 | 18.86 |
mean | 2.07 | 2.50 | 2.54 | 2.92 | 1.89 | 2.20 | 2.35 | 2.62 |
st.dev. | 0.82 | 1.16 | 1.14 | 1.66 | 0.70 | 0.92 | 0.94 | 1.28 |
Q5% | 1.33 | 1.47 | 1.33 | 1.34 | 1.25 | 1.36 | 1.30 | 1.32 |
Q50% | 1.79 | 2.15 | 2.27 | 2.45 | 1.65 | 1.89 | 2.15 | 2.30 |
Q95% | 3.64 | 4.45 | 4.46 | 5.69 | 3.37 | 3.88 | 3.95 | 4.79 |