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 | 1.80 | 1.82 | 1.88 | 1.61 | 1.68 | 1.82 | 1.82 |
max | 4.00 | 4.13 | 3.29 | 3.48 | 3.77 | 3.87 | 3.27 | 3.34 |
mean | 2.51 | 2.58 | 2.47 | 2.60 | 2.39 | 2.43 | 2.46 | 2.50 |
st.dev. | 0.54 | 0.56 | 0.39 | 0.42 | 0.51 | 0.52 | 0.39 | 0.40 |
Q5% | 1.88 | 1.94 | 1.91 | 2.02 | 1.74 | 1.82 | 1.90 | 1.94 |
Q50% | 2.36 | 2.42 | 2.43 | 2.54 | 2.27 | 2.28 | 2.42 | 2.45 |
Q95% | 3.71 | 3.82 | 3.18 | 3.37 | 3.45 | 3.58 | 3.16 | 3.24 |
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 | 127.00 | 127.00 | 127.00 | 127.00 | 127.00 | 127.00 | 127.00 | 127.00 |
min | 1.36 | 1.61 | 1.26 | 1.41 | 1.22 | 1.43 | 1.06 | 1.24 |
max | 3.11 | 3.68 | 4.39 | 5.42 | 2.78 | 3.27 | 3.83 | 4.68 |
mean | 1.73 | 2.06 | 2.13 | 2.37 | 1.56 | 1.82 | 1.92 | 2.13 |
st.dev. | 0.28 | 0.34 | 0.76 | 0.94 | 0.26 | 0.30 | 0.67 | 0.79 |
Q5% | 1.44 | 1.70 | 1.32 | 1.42 | 1.29 | 1.51 | 1.13 | 1.29 |
Q50% | 1.64 | 1.95 | 1.88 | 2.02 | 1.48 | 1.72 | 1.75 | 1.89 |
Q95% | 2.30 | 2.72 | 3.56 | 3.98 | 2.06 | 2.41 | 3.36 | 3.50 |
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 | 340.00 | 340.00 | 340.00 | 340.00 | 340.00 | 340.00 | 340.00 | 340.00 |
min | 1.55 | 1.70 | 1.09 | 1.10 | 1.39 | 1.64 | 1.07 | 1.07 |
max | 4.43 | 5.58 | 9.81 | 11.90 | 4.28 | 4.75 | 8.42 | 10.37 |
mean | 1.96 | 2.40 | 2.28 | 2.30 | 1.80 | 2.08 | 2.24 | 2.27 |
st.dev. | 0.45 | 0.56 | 1.09 | 1.16 | 0.45 | 0.47 | 1.05 | 1.10 |
Q5% | 1.62 | 1.97 | 1.19 | 1.19 | 1.45 | 1.71 | 1.17 | 1.19 |
Q50% | 1.78 | 2.19 | 2.03 | 2.06 | 1.64 | 1.89 | 1.96 | 2.00 |
Q95% | 2.88 | 3.55 | 4.50 | 4.35 | 2.69 | 3.07 | 4.39 | 4.44 |
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 | 1.63 | 1.97 | 1.14 | 1.25 | 1.52 | 1.72 | 1.13 | 1.17 |
max | 4.45 | 5.44 | 4.58 | 4.59 | 4.47 | 4.73 | 4.58 | 4.58 |
mean | 1.92 | 2.34 | 2.29 | 2.31 | 1.93 | 2.04 | 2.29 | 2.29 |
st.dev. | 0.45 | 0.55 | 0.80 | 0.80 | 0.46 | 0.48 | 0.80 | 0.80 |
Q5% | 1.65 | 2.01 | 1.48 | 1.48 | 1.56 | 1.75 | 1.48 | 1.48 |
Q50% | 1.75 | 2.13 | 2.18 | 2.18 | 1.79 | 1.85 | 2.15 | 2.18 |
Q95% | 2.61 | 3.18 | 4.16 | 4.16 | 2.64 | 2.77 | 4.16 | 4.16 |
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 | 4138.00 | 4138.00 | 4138.00 | 4138.00 | 4138.00 | 4138.00 | 4138.00 | 4138.00 |
min | 1.23 | 1.40 | 1.04 | 1.05 | 1.12 | 1.28 | 1.03 | 1.04 |
max | 11.99 | 14.92 | 11.16 | 17.76 | 12.43 | 12.83 | 9.18 | 13.33 |
mean | 2.01 | 2.36 | 2.15 | 2.22 | 1.87 | 2.10 | 2.11 | 2.15 |
st.dev. | 0.76 | 0.94 | 0.82 | 0.92 | 0.81 | 0.81 | 0.79 | 0.84 |
Q5% | 1.47 | 1.68 | 1.22 | 1.25 | 1.35 | 1.53 | 1.20 | 1.22 |
Q50% | 1.84 | 2.19 | 2.01 | 2.05 | 1.69 | 1.94 | 1.96 | 2.01 |
Q95% | 2.87 | 3.34 | 3.53 | 3.66 | 2.71 | 2.97 | 3.45 | 3.51 |