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 | 148.00 | 148.00 | 139.00 | 139.00 | 148.00 | 148.00 | 139.00 | 139.00 |
min | 1.23 | 1.40 | 1.14 | 1.34 | 1.13 | 1.28 | 1.05 | 1.17 |
max | 2.78 | 3.06 | 6.45 | 8.88 | 2.60 | 2.85 | 5.30 | 7.19 |
mean | 1.77 | 1.95 | 2.14 | 2.32 | 1.65 | 1.81 | 2.04 | 2.16 |
st.dev. | 0.41 | 0.44 | 0.77 | 0.92 | 0.39 | 0.42 | 0.72 | 0.80 |
Q5% | 1.32 | 1.45 | 1.28 | 1.38 | 1.24 | 1.36 | 1.23 | 1.29 |
Q50% | 1.63 | 1.84 | 1.90 | 2.04 | 1.52 | 1.69 | 1.84 | 1.90 |
Q95% | 2.65 | 2.90 | 3.42 | 3.55 | 2.49 | 2.71 | 3.42 | 3.42 |
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 | 1042.00 | 1042.00 | 1033.00 | 1033.00 | 1042.00 | 1042.00 | 1033.00 | 1033.00 |
min | 1.22 | 1.37 | 1.13 | 1.24 | 1.13 | 1.25 | 1.05 | 1.15 |
max | 2.95 | 3.59 | 6.91 | 10.39 | 2.72 | 3.14 | 5.43 | 8.03 |
mean | 1.78 | 2.09 | 2.19 | 2.50 | 1.63 | 1.86 | 2.00 | 2.23 |
st.dev. | 0.36 | 0.45 | 0.58 | 0.73 | 0.31 | 0.38 | 0.53 | 0.62 |
Q5% | 1.31 | 1.46 | 1.30 | 1.43 | 1.22 | 1.34 | 1.23 | 1.33 |
Q50% | 1.73 | 2.04 | 2.16 | 2.46 | 1.59 | 1.82 | 1.97 | 2.20 |
Q95% | 2.45 | 2.91 | 2.99 | 3.48 | 2.21 | 2.56 | 2.89 | 3.05 |