Table 11 ES99 vs VaR99 ratio.

From: Tailoring tail risk models for clean energy investments: a dual approach to long and short position forecasting

 

GARCH

GJRGARCH

IGARCH

 

N

ST

HS

CF

N

ST

HS

CF

N

ST

HS

CF

Panel A: PBW

          

Long

            

Full period

1.146

1.222

1.179

1.194

1.145

1.220

1.181

1.191

1.146

1.235

1.187

1.199

Sample I

1.157

1.228

1.377

1.235

1.158

1.228

1.391

1.238

1.155

1.248

1.312

1.249

Sample II

1.159

1.422

1.350

1.314

1.163

1.432

1.380

1.318

1.158

1.424

1.340

1.313

Sample III

1.159

1.403

1.396

1.314

1.158

1.404

1.486

1.315

1.159

1.405

1.413

1.314

Short

            

Full period

1.145

1.197

1.156

1.160

1.146

1.193

1.167

1.162

1.145

1.208

1.149

1.163

Sample I

1.153

1.208

1.178

1.189

1.154

1.206

1.190

1.191

1.153

1.226

1.247

1.210

Sample II

1.157

1.366

1.207

1.267

1.157

1.370

1.236

1.271

1.156

1.368

1.212

1.266

Sample III

1.144

1.332

1.197

1.266

1.145

1.698

1.255

1.268

1.144

1.334

1.173

1.266

Panel B: PBD

          

Long

            

Full period

1.148

1.267

1.178

1.227

1.146

1.254

1.172

1.220

1.148

1.285

1.199

1.233

Sample I

na

na

na

na

na

na

na

na

na

na

na

na

Sample II

1.161

1.469

1.330

1.388

1.162

1.473

1.342

1.390

1.161

1.471

1.346

1.388

Sample III

1.168

1.459

1.554

1.530

1.172

1.459

1.676

1.537

1.168

1.470

1.624

1.559

Short

            

Full period

1.144

1.234

1.151

1.184

1.145

1.222

1.138

1.180

1.144

1.250

1.130

1.189

Sample I

na

na

na

na

na

na

na

na

na

na

na

na

Sample II

1.149

1.414

1.354

1.350

1.152

1.417

1.301

1.354

1.148

1.416

1.268

1.351

Sample III

1.150

1.403

1.276

1.646

1.151

1.418

1.275

1.658

1.150

1.413

1.259

1.716

  1. The table presents the ratio of ES (99% confidence) to VaR (99% confidence) forecasts for both long and short positions in PBW (Panel A) and PBD (Panel B). These comparisons are made across three GARCH-based models, each paired with either a normal distribution (N), skewed t distribution (ST), historical simulation (HS), or Cornish-Fisher expansion (CF). The table reports the average of these ratios over the entire forecast period, as well as the maximum ratio values observed over the sub-sample periods.
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