Table 12 ES97.5 vs VaR99 ratio.

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

 

GARCH

GJRGARCH

FIGARCH

 

N

ST

HS

CF

N

ST

HS

CF

N

ST

HS

CF

Panel A: PBW

          

Long

            

Full period

1.005

1.020

1.024

1.003

1.005

1.020

1.030

1.003

1.005

1.023

1.033

1.004

Sample I

1.005

1.020

1.130

1.008

1.005

1.020

1.153

1.008

1.005

1.025

1.108

1.011

Sample II

1.005

1.070

1.127

1.021

1.006

1.074

1.137

1.022

1.005

1.070

1.121

1.021

Sample III

1.005

1.064

1.137

1.022

1.005

1.064

1.183

1.022

1.005

1.064

1.135

1.022

Short

            

Full period

1.005

1.017

1.018

0.999

1.005

1.014

1.023

1.000

1.005

1.020

1.011

1.000

Sample I

1.005

1.018

1.040

1.004

1.005

1.018

1.048

1.004

1.005

1.023

1.083

1.008

Sample II

1.005

1.060

1.027

1.019

1.005

1.061

1.036

1.020

1.005

1.060

1.049

1.019

Sample III

1.005

1.052

1.076

1.019

1.005

1.292

1.096

1.019

1.005

1.053

1.058

1.019

Panel B: PBD

          

Long

            

Full period

1.005

1.031

1.021

1.008

1.005

1.028

1.017

1.007

1.005

1.036

1.034

1.009

Sample I

na

na

na

na

na

na

na

na

na

na

na

na

Sample II

1.005

1.085

1.094

1.033

1.005

1.086

1.118

1.033

1.005

1.085

1.111

1.033

Sample III

1.006

1.082

1.190

1.058

1.006

1.082

1.280

1.059

1.006

1.085

1.192

1.062

Short

            

Full period

1.005

1.027

1.019

1.004

1.005

1.023

1.013

1.003

1.005

1.031

1.001

1.005

Sample I

na

na

na

na

na

na

na

na

na

na

na

na

Sample II

1.005

1.074

1.121

1.034

1.005

1.075

1.068

1.034

1.005

1.075

1.079

1.034

Sample III

1.005

1.072

1.086

1.083

1.005

1.073

1.084

1.085

1.005

1.074

1.067

1.096

  1. The table presents the ratio of ES (97.5% 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 tt 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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