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  4. 82270360 / SHELL TRANSPORT & TRADING CO PLC

82270360 / SHELL TRANSPORT & TRADING CO PLC

1977-05-14 to 1977-10-14
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 105.00 105.00 105.00 105.00 105.00 105.00 105.00 105.00
min 1.34 1.46 1.50 1.51 1.25 1.37 1.50 1.50
max 2.98 3.12 5.77 9.21 2.77 2.94 4.41 6.90
mean 1.94 2.04 2.43 2.47 1.80 1.92 2.42 2.44
st.dev. 0.53 0.54 0.57 0.81 0.49 0.51 0.50 0.64
Q5% 1.37 1.48 1.65 1.65 1.28 1.39 1.65 1.65
Q50% 1.72 1.80 2.36 2.36 1.60 1.69 2.36 2.36
Q95% 2.84 2.98 3.17 3.18 2.65 2.81 3.17 3.17

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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.17 1.34 1.09 1.08 1.13 1.22 1.07 1.07
max 3.10 3.53 3.98 3.98 3.00 3.21 3.98 3.98
mean 1.81 2.04 1.99 2.00 1.75 1.87 2.05 1.98
st.dev. 0.39 0.44 0.60 0.60 0.38 0.40 0.62 0.60
Q5% 1.26 1.44 1.26 1.29 1.19 1.31 1.29 1.24
Q50% 1.79 2.01 1.89 1.89 1.73 1.86 1.96 1.87
Q95% 2.49 2.80 2.93 2.95 2.39 2.57 3.06 2.93

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 1.37 1.63 1.06 1.10 1.24 1.44 1.05 1.06
max 4.73 5.66 4.13 4.36 4.24 4.99 4.13 4.13
mean 1.82 2.13 1.88 1.93 1.65 1.91 1.86 1.89
st.dev. 0.47 0.57 0.60 0.64 0.42 0.50 0.58 0.61
Q5% 1.46 1.73 1.19 1.19 1.31 1.53 1.17 1.19
Q50% 1.69 1.98 1.74 1.75 1.53 1.76 1.71 1.73
Q95% 2.53 3.04 3.18 3.30 2.28 2.67 3.08 3.19

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 1.40 1.56 1.17 1.41 1.38 1.44 1.30 1.19
max 4.80 4.72 8.18 8.40 5.14 4.72 8.51 8.14
mean 2.03 2.18 2.78 2.92 2.10 2.06 2.88 2.79
st.dev. 0.69 0.76 1.40 1.42 0.74 0.70 1.45 1.39
Q5% 1.49 1.62 1.28 1.42 1.44 1.51 1.36 1.28
Q50% 1.68 1.82 2.39 2.69 1.77 1.70 2.51 2.42
Q95% 3.40 3.79 4.70 4.68 3.39 3.46 4.78 4.69

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 3774.00 3774.00 3774.00 3774.00 3774.00 3774.00 3774.00 3774.00
min 1.17 1.34 1.06 1.07 1.13 1.22 1.04 1.05
max 4.80 5.66 16.55 27.32 5.14 4.99 12.75 19.65
mean 1.76 2.01 2.26 2.39 1.64 1.82 2.22 2.28
st.dev. 0.39 0.46 1.09 1.60 0.36 0.40 0.93 1.23
Q5% 1.35 1.50 1.25 1.27 1.27 1.39 1.25 1.24
Q50% 1.67 1.91 2.06 2.11 1.56 1.72 2.04 2.06
Q95% 2.49 2.85 3.60 3.94 2.31 2.58 3.56 3.63