Model risk of risk models

Summary

Risk Ratios for 99% VaR/ES, no overlapping data in estimation
min VaR min ES max VaR max ES mean VaR mean ES
min 1.03 1.01 1.74 1.87 1.33 1.44
max 3.90 6.29 71.43 119.06 18.02 23.23
mean 1.29 1.47 9.62 12.31 2.26 2.82
Q5% 1.08 1.12 3.13 3.63 1.60 1.81
Q50% 1.22 1.36 7.62 9.07 2.05 2.45
Q95% 1.64 2.09 23.14 32.51 3.38 4.82
99% VaR, no overlapping data in estimation, across all stocks and times
HS MA EWMA GARCH tGARCH EVT
mean 5.53 4.95 4.65 4.79 7.70 5.40
st.dev. 2.91 2.40 3.63 3.83 9.93 2.79
Risk Ratios for 99% VaR/ES, 10 day overlapping data in estimation
min VaR min ES max VaR max ES mean VaR mean ES
min 1.01 -0.48 2.44 2.55 1.56 1.57
max 7.30 6.58 60.93 170.98 9.93 9.64
mean 1.12 1.13 14.67 22.11 2.52 2.87
Q5% 1.03 1.03 4.84 5.57 2.03 2.12
Q50% 1.07 1.08 13.17 19.63 2.40 2.69
Q95% 1.28 1.38 29.27 46.52 3.31 4.03
99% VaR, 10 day overlapping data in estimation, across all stocks and times
HS MA EWMA GARCH tGARCH EVT
mean 16.97 14.99 13.74 12.82 14.10 16.10
st.dev. 9.87 6.86 10.60 12.61 15.55 8.84
Risk Ratios for 97.5% VaR/ES, no overlapping data in estimation
min VaR min ES max VaR max ES mean VaR mean ES
min 1.01 1.01 1.64 1.77 1.29 1.34
max 2.98 4.70 59.32 87.42 14.92 20.93
mean 1.20 1.34 9.10 10.32 2.03 2.42
Q5% 1.06 1.08 2.96 3.25 1.51 1.65
Q50% 1.15 1.25 7.26 7.91 1.87 2.16
Q95% 1.43 1.77 20.81 25.40 2.93 3.84
97.5% VaR, no overlapping data in estimation, across all stocks and times
HS MA EWMA GARCH tGARCH EVT
mean 4.07 4.17 3.92 4.04 5.74 4.14
st.dev. 2.00 2.03 3.06 3.23 6.61 2.07
Risk Ratios for 97.5% VaR/ES, 10 day overlapping data in estimation
min VaR min ES max VaR max ES mean VaR mean ES
min 1.01 -1.13 2.32 2.48 1.56 1.56
max 7.86 7.11 75.30 79.26 10.14 9.83
mean 1.10 1.10 12.75 16.91 2.37 2.59
Q5% 1.03 1.03 4.57 4.88 1.97 2.04
Q50% 1.06 1.06 11.38 15.39 2.28 2.44
Q95% 1.23 1.28 25.65 35.20 3.01 3.47
97.5% VaR, 10 day overlapping data in estimation, across all stocks and times
HS MA EWMA GARCH tGARCH EVT
mean 12.35 12.63 11.57 10.80 11.62 12.60
st.dev. 6.29 5.78 8.93 10.63 12.41 6.55