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  4. 65355610 / NIAGARA SHARE CORP

65355610 / NIAGARA SHARE CORP

1980-01-14 to 1980-07-14
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 29.00 29.00 20.00 20.00 29.00 29.00 20.00 20.00
min 1.20 1.27 1.53 1.53 1.14 1.21 1.66 1.53
max 1.74 1.84 3.78 3.78 1.76 1.74 3.87 3.78
mean 1.32 1.38 2.44 2.38 1.27 1.31 2.57 2.38
st.dev. 0.10 0.11 0.71 0.69 0.12 0.10 0.73 0.70
Q5% 1.21 1.29 1.57 1.57 1.15 1.22 1.70 1.54
Q50% 1.30 1.36 2.29 2.21 1.24 1.28 2.37 2.21
Q95% 1.41 1.49 3.62 3.62 1.42 1.41 3.79 3.62

1981-07-14 to 1982-11-14
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 1.27 1.42 1.09 1.14 1.21 1.31 1.07 1.10
max 2.43 3.03 3.35 3.35 2.20 2.56 3.35 3.35
mean 1.56 1.82 1.87 2.00 1.46 1.61 1.81 1.90
st.dev. 0.23 0.30 0.43 0.45 0.20 0.24 0.42 0.43
Q5% 1.32 1.48 1.24 1.32 1.23 1.35 1.22 1.27
Q50% 1.51 1.74 1.84 1.99 1.42 1.56 1.79 1.86
Q95% 2.06 2.50 2.53 2.74 1.89 2.13 2.47 2.58

1987-10-19 to 1988-01-19
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 1.29 1.48 1.27 1.29 1.34 1.32 1.12 1.27
max 8.24 8.22 7.99 7.88 7.97 7.70 8.42 7.80
mean 2.68 2.73 3.09 3.30 2.89 2.66 3.31 3.11
st.dev. 1.35 1.33 1.27 1.18 1.35 1.26 1.41 1.22
Q5% 1.36 1.53 1.47 1.94 1.40 1.37 1.41 1.57
Q50% 2.38 2.38 2.94 3.01 2.62 2.38 3.27 2.94
Q95% 5.23 5.67 5.22 5.16 5.51 5.34 5.84 5.21

1990-07-14 to 1991-03-14
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 103.00 103.00 103.00 103.00 103.00 103.00 103.00 103.00
min 1.23 1.69 1.27 2.22 1.19 1.28 1.08 1.63
max 2.38 3.56 3.25 6.54 2.13 2.73 2.76 4.34
mean 1.57 2.31 1.96 3.57 1.47 1.78 1.72 2.50
st.dev. 0.29 0.48 0.52 1.17 0.24 0.36 0.37 0.76
Q5% 1.26 1.69 1.31 2.23 1.23 1.33 1.19 1.65
Q50% 1.48 2.22 1.89 3.17 1.38 1.69 1.69 2.25
Q95% 2.23 3.34 2.96 5.73 2.00 2.56 2.39 4.01

1974-01-01 to 2012-12-31
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 2660.00 2660.00 2651.00 2651.00 2660.00 2660.00 2651.00 2651.00
min 1.18 1.26 1.08 1.07 1.14 1.20 1.06 1.08
max 8.24 8.22 14.25 22.86 7.97 7.70 10.89 17.09
mean 1.61 1.96 2.11 2.77 1.53 1.71 2.00 2.33
st.dev. 0.38 0.56 0.68 1.51 0.38 0.42 0.62 0.91
Q5% 1.28 1.43 1.31 1.36 1.22 1.32 1.25 1.34
Q50% 1.50 1.74 2.04 2.29 1.42 1.56 1.92 2.15
Q95% 2.24 3.10 3.18 6.08 2.08 2.47 2.98 4.08