--- 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 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 | 169.00 |
min | 1.10 | 1.10 | 1.07 | 1.54 | 1.15 | 1.10 | 1.10 | 1.26 |
max | 2.26 | 2.28 | 2.20 | 2.74 | 2.20 | 2.22 | 2.37 | 2.17 |
mean | 1.48 | 1.49 | 1.52 | 1.88 | 1.51 | 1.46 | 1.55 | 1.60 |
st.dev. | 0.21 | 0.21 | 0.25 | 0.30 | 0.21 | 0.20 | 0.26 | 0.24 |
Q5% | 1.21 | 1.26 | 1.16 | 1.57 | 1.21 | 1.21 | 1.19 | 1.28 |
Q50% | 1.46 | 1.43 | 1.49 | 1.77 | 1.51 | 1.43 | 1.52 | 1.56 |
Q95% | 1.90 | 1.94 | 1.95 | 2.45 | 1.90 | 1.89 | 2.02 | 2.01 |
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 | 1.67 | 1.77 | 1.50 | 1.51 | 1.67 | 1.67 | 1.49 | 1.50 |
max | 5.01 | 5.85 | 4.44 | 4.44 | 4.51 | 5.23 | 4.44 | 4.44 |
mean | 2.76 | 3.16 | 2.21 | 2.21 | 2.64 | 2.87 | 2.23 | 2.21 |
st.dev. | 0.78 | 0.97 | 0.58 | 0.59 | 0.67 | 0.83 | 0.59 | 0.58 |
Q5% | 1.93 | 2.01 | 1.66 | 1.66 | 1.83 | 1.99 | 1.66 | 1.66 |
Q50% | 2.53 | 2.93 | 1.99 | 1.99 | 2.47 | 2.63 | 2.01 | 1.99 |
Q95% | 4.55 | 5.31 | 3.21 | 3.20 | 4.15 | 4.76 | 3.35 | 3.20 |
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 | 1.45 | 1.67 | 1.11 | 1.15 | 1.32 | 1.51 | 1.18 | 1.11 |
max | 2.47 | 2.93 | 3.03 | 3.19 | 2.30 | 2.62 | 2.89 | 2.96 |
mean | 1.80 | 2.10 | 2.07 | 2.16 | 1.64 | 1.89 | 2.01 | 2.03 |
st.dev. | 0.25 | 0.31 | 0.51 | 0.54 | 0.24 | 0.27 | 0.49 | 0.50 |
Q5% | 1.49 | 1.73 | 1.32 | 1.35 | 1.35 | 1.55 | 1.27 | 1.29 |
Q50% | 1.75 | 2.06 | 2.12 | 2.22 | 1.62 | 1.85 | 2.04 | 2.07 |
Q95% | 2.26 | 2.69 | 2.78 | 2.93 | 2.11 | 2.40 | 2.66 | 2.72 |
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 | 1.47 | 1.73 | 1.11 | 1.40 | 1.32 | 1.54 | 1.11 | 1.23 |
max | 7.59 | 9.13 | 7.66 | 7.61 | 7.58 | 8.02 | 8.92 | 7.54 |
mean | 3.42 | 4.14 | 2.78 | 2.88 | 3.18 | 3.62 | 2.87 | 2.80 |
st.dev. | 1.23 | 1.50 | 1.18 | 1.21 | 1.27 | 1.31 | 1.29 | 1.17 |
Q5% | 1.81 | 2.14 | 1.49 | 1.61 | 1.61 | 1.90 | 1.51 | 1.52 |
Q50% | 3.31 | 4.03 | 2.46 | 2.53 | 3.00 | 3.51 | 2.50 | 2.47 |
Q95% | 5.81 | 6.96 | 5.24 | 5.37 | 5.85 | 6.13 | 5.47 | 5.24 |
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 | 6019.00 | 6019.00 | 6010.00 | 6010.00 | 6019.00 | 6019.00 | 6010.00 | 6010.00 |
min | 1.04 | 1.01 | 1.07 | 1.06 | 1.06 | 1.01 | 1.05 | 1.04 |
max | 7.59 | 9.13 | 10.36 | 16.62 | 7.58 | 8.02 | 8.92 | 12.43 |
mean | 1.99 | 2.29 | 2.19 | 2.35 | 1.84 | 2.06 | 2.10 | 2.20 |
st.dev. | 0.74 | 0.95 | 0.84 | 1.01 | 0.68 | 0.79 | 0.74 | 0.85 |
Q5% | 1.23 | 1.26 | 1.27 | 1.32 | 1.22 | 1.23 | 1.27 | 1.29 |
Q50% | 1.77 | 2.02 | 2.00 | 2.13 | 1.63 | 1.83 | 1.95 | 2.02 |
Q95% | 3.40 | 4.16 | 3.84 | 4.19 | 3.11 | 3.60 | 3.41 | 3.77 |