--- 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 | 32.00 | 32.00 | 23.00 | 23.00 | 32.00 | 32.00 | 23.00 | 23.00 |
min | 3.68 | 4.24 | 7.30 | 6.58 | 2.89 | 4.19 | 7.86 | 7.11 |
max | 46.43 | 66.01 | 13.01 | 14.16 | 42.92 | 52.74 | 12.28 | 13.22 |
mean | 10.61 | 14.69 | 9.93 | 9.64 | 9.91 | 12.01 | 10.14 | 9.83 |
st.dev. | 10.66 | 14.31 | 1.43 | 1.70 | 9.80 | 12.18 | 1.33 | 1.46 |
Q5% | 4.16 | 4.42 | 7.95 | 7.47 | 3.48 | 4.31 | 8.24 | 7.84 |
Q50% | 6.42 | 9.96 | 9.60 | 9.46 | 6.11 | 7.45 | 9.95 | 9.59 |
Q95% | 35.83 | 46.99 | 12.07 | 12.51 | 33.00 | 40.89 | 12.02 | 12.09 |