Extreme Risk: SX5E
STI

SX5E

Returns

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VaR

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ES

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Risk forecast

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.1 3.3 2.7 3.0 3.5 4.3 1.6 3.5
ES 6.1 3.7 3.1 3.4 4.9 6.1 2.0 4.5

Price drop given year

Probability of price drop

Data and normal density

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STI

SX5E