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 | 99.00 | 99.00 | 90.00 | 90.00 | 99.00 | 99.00 | 90.00 | 90.00 |
min | 1.53 | 1.81 | 1.41 | 1.72 | 1.36 | 1.60 | 1.22 | 1.48 |
max | 2.78 | 3.32 | 5.96 | 5.96 | 2.47 | 2.93 | 5.96 | 5.96 |
mean | 1.99 | 2.39 | 2.65 | 2.81 | 1.76 | 2.10 | 2.58 | 2.68 |
st.dev. | 0.37 | 0.43 | 1.07 | 1.10 | 0.33 | 0.38 | 1.06 | 1.07 |
Q5% | 1.54 | 1.86 | 1.43 | 1.73 | 1.37 | 1.63 | 1.31 | 1.49 |
Q50% | 1.89 | 2.27 | 2.33 | 2.43 | 1.68 | 2.00 | 2.27 | 2.34 |
Q95% | 2.65 | 3.16 | 4.80 | 5.33 | 2.36 | 2.79 | 4.72 | 4.86 |
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 | 1.73 | 2.04 | 1.26 | 1.51 | 1.55 | 1.82 | 1.34 | 1.26 |
max | 3.43 | 3.96 | 6.61 | 9.46 | 3.11 | 3.57 | 5.63 | 7.50 |
mean | 2.44 | 2.88 | 2.27 | 2.38 | 2.18 | 2.56 | 2.29 | 2.28 |
st.dev. | 0.41 | 0.47 | 0.84 | 1.11 | 0.38 | 0.43 | 0.75 | 0.92 |
Q5% | 1.87 | 2.21 | 1.45 | 1.51 | 1.67 | 1.96 | 1.54 | 1.45 |
Q50% | 2.29 | 2.73 | 2.11 | 2.19 | 2.03 | 2.41 | 2.15 | 2.11 |
Q95% | 3.23 | 3.76 | 3.49 | 3.45 | 2.92 | 3.39 | 3.52 | 3.47 |
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 | 1.71 | 2.19 | 1.91 | 2.26 | 1.53 | 1.85 | 1.32 | 1.80 |
max | 2.97 | 4.17 | 6.78 | 7.93 | 2.52 | 3.24 | 4.82 | 6.32 |
mean | 2.24 | 2.96 | 4.43 | 5.24 | 1.91 | 2.44 | 3.08 | 4.19 |
st.dev. | 0.27 | 0.42 | 1.21 | 1.42 | 0.23 | 0.30 | 0.79 | 1.12 |
Q5% | 1.86 | 2.42 | 2.68 | 3.09 | 1.58 | 2.03 | 1.89 | 2.53 |
Q50% | 2.19 | 2.87 | 4.31 | 5.09 | 1.85 | 2.39 | 2.99 | 4.05 |
Q95% | 2.78 | 3.87 | 6.26 | 7.40 | 2.36 | 3.04 | 4.29 | 5.90 |
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 | 1.95 | 2.63 | 1.12 | 1.16 | 1.75 | 2.16 | 1.11 | 1.11 |
max | 12.28 | 16.50 | 10.87 | 11.41 | 12.90 | 13.46 | 12.63 | 11.00 |
mean | 3.64 | 4.95 | 2.72 | 2.89 | 3.28 | 4.04 | 2.75 | 2.75 |
st.dev. | 1.79 | 2.40 | 1.31 | 1.40 | 1.85 | 1.97 | 1.43 | 1.33 |
Q5% | 2.06 | 2.78 | 1.32 | 1.33 | 1.81 | 2.28 | 1.30 | 1.32 |
Q50% | 2.82 | 3.85 | 2.51 | 2.67 | 2.54 | 3.13 | 2.48 | 2.54 |
Q95% | 7.28 | 9.88 | 5.09 | 5.44 | 7.30 | 8.07 | 5.25 | 5.10 |
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 | 5592.00 | 5592.00 | 5583.00 | 5583.00 | 5592.00 | 5592.00 | 5583.00 | 5583.00 |
min | 1.14 | 1.38 | 1.12 | 1.16 | 1.10 | 1.27 | 1.09 | 1.11 |
max | 13.54 | 17.06 | 15.54 | 24.71 | 12.90 | 13.74 | 12.63 | 18.56 |
mean | 2.40 | 3.35 | 3.12 | 3.76 | 2.15 | 2.67 | 2.63 | 3.18 |
st.dev. | 1.03 | 1.69 | 1.37 | 1.82 | 0.97 | 1.19 | 1.08 | 1.41 |
Q5% | 1.42 | 1.76 | 1.50 | 1.69 | 1.31 | 1.51 | 1.36 | 1.52 |
Q50% | 2.16 | 2.86 | 2.79 | 3.28 | 1.91 | 2.37 | 2.39 | 2.83 |
Q95% | 4.13 | 6.25 | 5.74 | 7.23 | 3.66 | 4.77 | 4.52 | 5.83 |