Method | VR | VaR volatility |
EWMA.N | 0.888889 | 0.00255671 |
EWMA.T | 0.444444 | 0.00313213 |
HS | 1.777778 | 0.00063331 |
MA.N | 0.444444 | 0.00081175 |
MA.T | 0.444444 | 0.00099444 |