risk_forecasts {esback}

Returns and risk forecasts for the S&P 500 index

Description

A dataset containing the daily log returns and risk forecasts for the S&P 500 index. The quantile and expected shortfall forecasts are for the probability level 2.5%.

Usage

data(risk_forecasts)

Format

A data.frame with 4396 rows and 4 variables

Details

Description of the variables:

r

Daily log returns from January 3, 2000 to September 29, 2017 (4465 days)

q

Value-at-Risk forecasts of the Historical Simulation approach

e

Expected shortfall forecasts of the Historical Simulation approach

s

Volatility forecasts of the Historical Simulation approach