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 | 3.04 | 3.27 | 1.62 | 1.62 | 2.71 | 2.89 | 1.57 | 1.62 |
max | 7.95 | 10.00 | 17.99 | 25.38 | 8.50 | 8.24 | 15.97 | 19.90 |
mean | 4.65 | 5.61 | 4.26 | 4.66 | 4.73 | 4.69 | 4.47 | 4.35 |
st.dev. | 1.24 | 1.72 | 2.31 | 3.27 | 1.44 | 1.35 | 2.15 | 2.55 |
Q5% | 3.36 | 3.52 | 1.87 | 1.99 | 3.01 | 3.20 | 1.80 | 1.90 |
Q50% | 4.38 | 5.17 | 3.94 | 4.10 | 4.41 | 4.30 | 4.17 | 3.99 |
Q95% | 7.14 | 9.03 | 7.10 | 8.63 | 7.58 | 7.39 | 7.32 | 7.35 |
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 | 1.57 | 2.01 | 1.31 | 1.65 | 1.35 | 1.70 | 1.25 | 1.40 |
max | 4.47 | 6.38 | 8.55 | 12.25 | 3.61 | 5.07 | 6.88 | 9.71 |
mean | 2.72 | 3.66 | 2.36 | 3.11 | 2.28 | 3.01 | 2.20 | 2.51 |
st.dev. | 0.58 | 0.85 | 0.80 | 1.12 | 0.46 | 0.66 | 0.68 | 0.89 |
Q5% | 1.85 | 2.36 | 1.46 | 1.91 | 1.57 | 2.00 | 1.39 | 1.55 |
Q50% | 2.75 | 3.72 | 2.20 | 2.88 | 2.29 | 3.04 | 2.05 | 2.32 |
Q95% | 3.64 | 4.90 | 3.35 | 4.40 | 3.01 | 4.02 | 3.09 | 3.57 |
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 | 1.14 | 1.22 | 1.12 | 1.12 | 1.10 | 1.16 | 1.06 | 1.08 |
max | 5.15 | 5.65 | 6.45 | 6.52 | 4.88 | 5.28 | 6.39 | 6.46 |
mean | 2.63 | 2.85 | 2.46 | 2.50 | 2.50 | 2.68 | 2.44 | 2.46 |
st.dev. | 1.04 | 1.15 | 1.00 | 1.01 | 0.98 | 1.07 | 1.00 | 1.01 |
Q5% | 1.31 | 1.40 | 1.38 | 1.38 | 1.28 | 1.33 | 1.32 | 1.35 |
Q50% | 2.36 | 2.52 | 2.17 | 2.21 | 2.24 | 2.40 | 2.17 | 2.17 |
Q95% | 4.66 | 5.11 | 4.64 | 4.69 | 4.47 | 4.78 | 4.60 | 4.65 |
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 | 3950.00 | 3950.00 | 3941.00 | 3941.00 | 3950.00 | 3950.00 | 3941.00 | 3941.00 |
min | 1.14 | 1.22 | 1.06 | 1.08 | 1.08 | 1.15 | 1.04 | 1.08 |
max | 10.80 | 13.14 | 17.99 | 25.38 | 9.59 | 11.47 | 15.97 | 19.90 |
mean | 2.44 | 2.80 | 2.64 | 3.01 | 2.28 | 2.52 | 2.42 | 2.67 |
st.dev. | 1.15 | 1.35 | 1.20 | 1.46 | 1.09 | 1.17 | 1.03 | 1.21 |
Q5% | 1.26 | 1.35 | 1.35 | 1.44 | 1.20 | 1.28 | 1.31 | 1.36 |
Q50% | 2.07 | 2.44 | 2.32 | 2.68 | 1.92 | 2.17 | 2.18 | 2.36 |
Q95% | 4.75 | 5.21 | 4.91 | 5.61 | 4.54 | 4.77 | 4.17 | 4.85 |