EWMA VaR (0.94 decay factor)

Quantile specification

The quantile is defined based on the parametric definition of the following distribution:

Distribution type: normal

Specifications for mean process:

{
  "type": "zero"
}

Specifications for volatility process:

{
  "type": "EWMA",
  "decayFactor": 0.94,
  "backCastWindow": 60
}

Filter specification

No filter applied

Historical VaR (500-day lookback)

Quantile specification

The quantile is defined based on the sample returns

Filter specification

No filter applied

Gaussian VaR (250-day lookback)

Quantile specification

The quantile is defined based on the parametric definition of the following distribution:

Distribution type: normal

Specifications for mean process:

{
  "type": "sample",
  "window": 200
}

Specifications for volatility process:

{
  "type": "sample",
  "window": 200
}

Filter specification

No filter applied