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) |