置信水平 | 大商股份 | 上汽集团 | 鱼跃医疗 | 顺络电子 | 海螺水泥 | VaR | CVaR |
α = 0.90 | 0.123648 | 0.322136 | 0.203215 | 0.115498 | 0.231568 | 0.019549 | 0.023157 |
α = 0.95 | 0.134637 | 0.355053 | 0.196894 | 0.125792 | 0.187624 | 0.021373 | 0.027482 |
α = 0.99 | 0.161359 | 0.394698 | 0.115489 | 0.152365 | 0.161578 | 0.031365 | 0.039154 |