--- 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 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 | 65.00 |
min | 1.44 | 1.64 | 1.60 | 1.51 | 1.31 | 1.49 | 1.68 | 1.58 |
max | 3.67 | 4.34 | 5.69 | 7.64 | 3.52 | 3.85 | 5.95 | 6.33 |
mean | 1.88 | 2.16 | 2.91 | 2.99 | 1.89 | 1.95 | 3.01 | 2.93 |
st.dev. | 0.44 | 0.53 | 0.94 | 1.20 | 0.45 | 0.46 | 0.93 | 1.01 |
Q5% | 1.45 | 1.66 | 1.83 | 1.80 | 1.33 | 1.51 | 1.90 | 1.80 |
Q50% | 1.80 | 2.07 | 2.70 | 2.61 | 1.83 | 1.85 | 2.79 | 2.66 |
Q95% | 2.69 | 3.18 | 4.74 | 5.19 | 2.60 | 2.82 | 4.71 | 5.13 |
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 | 1.58 | 1.88 | 1.15 | 1.14 | 1.44 | 1.66 | 1.15 | 1.15 |
max | 2.80 | 3.32 | 6.01 | 9.26 | 2.50 | 2.94 | 4.68 | 7.07 |
mean | 2.00 | 2.38 | 2.18 | 2.22 | 1.81 | 2.10 | 2.18 | 2.19 |
st.dev. | 0.30 | 0.36 | 0.59 | 0.76 | 0.26 | 0.32 | 0.54 | 0.63 |
Q5% | 1.60 | 1.91 | 1.30 | 1.30 | 1.46 | 1.69 | 1.33 | 1.30 |
Q50% | 2.03 | 2.41 | 2.14 | 2.19 | 1.83 | 2.13 | 2.16 | 2.15 |
Q95% | 2.53 | 3.00 | 2.92 | 2.92 | 2.26 | 2.66 | 2.93 | 2.92 |
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 | 1.34 | 1.45 | 1.07 | 1.09 | 1.26 | 1.37 | 1.10 | 1.05 |
max | 5.37 | 6.09 | 9.82 | 14.89 | 4.92 | 5.55 | 7.91 | 11.45 |
mean | 2.55 | 2.78 | 2.28 | 2.35 | 2.41 | 2.61 | 2.28 | 2.28 |
st.dev. | 0.82 | 0.92 | 0.94 | 1.15 | 0.76 | 0.84 | 0.91 | 1.00 |
Q5% | 1.61 | 1.73 | 1.24 | 1.27 | 1.58 | 1.64 | 1.27 | 1.21 |
Q50% | 2.25 | 2.45 | 2.12 | 2.17 | 2.12 | 2.30 | 2.08 | 2.09 |
Q95% | 4.27 | 4.69 | 3.84 | 3.94 | 4.00 | 4.37 | 3.92 | 3.84 |
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 | 3942.00 | 3942.00 | 3933.00 | 3933.00 | 3942.00 | 3942.00 | 3933.00 | 3933.00 |
min | 1.22 | 1.34 | 1.07 | 1.08 | 1.15 | 1.25 | 1.03 | 1.05 |
max | 6.31 | 7.26 | 10.06 | 14.89 | 5.73 | 6.51 | 8.30 | 11.45 |
mean | 2.05 | 2.36 | 2.26 | 2.45 | 1.93 | 2.12 | 2.12 | 2.27 |
st.dev. | 0.83 | 0.91 | 0.84 | 1.06 | 0.77 | 0.85 | 0.72 | 0.87 |
Q5% | 1.38 | 1.58 | 1.28 | 1.33 | 1.30 | 1.43 | 1.24 | 1.29 |
Q50% | 1.72 | 2.02 | 2.09 | 2.21 | 1.64 | 1.79 | 1.99 | 2.09 |
Q95% | 3.96 | 4.44 | 3.77 | 4.29 | 3.67 | 4.05 | 3.35 | 3.76 |