Sig. level

Negative tail

Positive tail

VaR

ES

VaR

ES

5.00%

0.5417

0.5787

0.5762

0.6095

(0.9654)

(0.9177)

(0.9955)

(0.7538)

1.00%

0.8408

0.8521

0.7216

0.7296

(0.9795)

(0.9795)

(0.7815)

(0.7815)

0.50%

1.0057

1.0124

0.7787

0.7829

(0.9854)

(0.9854)

(0.6139)

(0.6139)

0.10%

1.4994

1.5014

0.8995

0.9004

(0.3405)

(0.3405)

(0.2977)

(0.2977)

0.01%

2.5864

2.5867

1.0473*

1.0474*

(0.1108)

(0.1108)

(0.0962)

(0.0962)