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 | 1.87 | 2.07 | 1.94 | 2.17 | 1.69 | 1.88 | 1.52 | 1.84 |
max | 3.12 | 3.45 | 8.14 | 9.10 | 2.82 | 3.14 | 6.38 | 7.74 |
mean | 2.62 | 2.90 | 5.36 | 5.99 | 2.37 | 2.64 | 4.21 | 5.10 |
st.dev. | 0.31 | 0.34 | 1.92 | 2.15 | 0.28 | 0.31 | 1.48 | 1.82 |
Q5% | 2.06 | 2.28 | 2.21 | 2.43 | 1.86 | 2.08 | 2.04 | 2.13 |
Q50% | 2.66 | 2.94 | 5.71 | 6.38 | 2.40 | 2.68 | 4.47 | 5.43 |
Q95% | 3.05 | 3.38 | 7.81 | 8.73 | 2.75 | 3.07 | 6.11 | 7.42 |
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 | 126.00 | 126.00 | 126.00 | 126.00 | 126.00 | 126.00 | 126.00 | 126.00 |
min | 1.24 | 1.59 | 1.48 | 1.64 | 1.43 | 1.26 | 1.33 | 1.51 |
max | 9.59 | 10.81 | 7.45 | 7.86 | 12.15 | 9.91 | 7.16 | 7.54 |
mean | 2.64 | 2.95 | 2.90 | 3.02 | 3.14 | 2.70 | 2.82 | 2.92 |
st.dev. | 1.46 | 1.63 | 1.28 | 1.24 | 1.90 | 1.51 | 1.32 | 1.27 |
Q5% | 1.42 | 1.60 | 1.59 | 1.65 | 1.52 | 1.45 | 1.34 | 1.59 |
Q50% | 2.12 | 2.41 | 2.50 | 2.65 | 2.35 | 2.17 | 2.48 | 2.51 |
Q95% | 5.72 | 6.64 | 5.47 | 5.47 | 7.08 | 5.97 | 5.47 | 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 | 1363.00 | 1363.00 | 1354.00 | 1354.00 | 1363.00 | 1363.00 | 1354.00 | 1354.00 |
min | 1.18 | 1.34 | 1.05 | 1.08 | 1.11 | 1.21 | 1.05 | 1.06 |
max | 9.59 | 10.81 | 9.05 | 10.12 | 12.15 | 9.91 | 7.16 | 8.60 |
mean | 2.12 | 2.40 | 3.68 | 4.03 | 2.01 | 2.15 | 3.16 | 3.58 |
st.dev. | 0.75 | 0.80 | 1.89 | 2.18 | 0.88 | 0.76 | 1.40 | 1.78 |
Q5% | 1.26 | 1.47 | 1.39 | 1.41 | 1.17 | 1.30 | 1.34 | 1.40 |
Q50% | 1.99 | 2.29 | 3.21 | 3.34 | 1.87 | 2.04 | 2.94 | 3.13 |
Q95% | 3.27 | 3.56 | 7.25 | 8.16 | 3.17 | 3.28 | 5.82 | 6.97 |