Method | VR | VaR volatility |
EWMA.N | 0.909091 | 0.0016765 |
EWMA.T | 0.909091 | 0.0020539 |
HS | 1.818182 | 0.0004350 |
MA.N | 0.909091 | 0.0005287 |
MA.T | 0.909091 | 0.0006477 |