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 | 443.00 | 443.00 | 434.00 | 434.00 | 443.00 | 443.00 | 434.00 | 434.00 |
min | 2.42 | 4.94 | 1.38 | 2.89 | 1.97 | 3.54 | 1.56 | 1.88 |
max | 7.91 | 25.33 | 7.21 | 16.47 | 6.16 | 14.39 | 6.87 | 10.47 |
mean | 4.55 | 11.31 | 3.13 | 6.31 | 3.61 | 6.98 | 3.06 | 4.23 |
st.dev. | 1.16 | 4.97 | 1.03 | 2.62 | 0.85 | 2.61 | 0.96 | 1.54 |
Q5% | 3.00 | 6.24 | 1.67 | 3.17 | 2.43 | 4.19 | 1.68 | 2.25 |
Q50% | 4.38 | 9.50 | 3.05 | 5.87 | 3.54 | 6.08 | 2.96 | 3.86 |
Q95% | 6.78 | 21.80 | 4.91 | 11.11 | 5.23 | 12.38 | 4.74 | 7.08 |