Method | VR | VaR volatility |
EWMA.N | 0.5 | 0.0029269 |
EWMA.T | 0.5 | 0.0035857 |
HS | 1 | 0.0003389 |
MA.N | 0.5 | 0.0004216 |
MA.T | 0.5 | 0.0005165 |