Method | VR | VaR volatility |
EWMA.N | 0.888889 | 0.0025567 |
EWMA.T | 0.444444 | 0.0031322 |
HS | 1.333333 | 0.0003562 |
MA.N | 0.444444 | 0.0004383 |
MA.T | 0.444444 | 0.0005369 |