Australia All Ordinaries, index, Australia, 26 May, 2023
Returns
Data density with normal and t(3)
Value-at-Risk
Expexted Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.5 | 2.7 | 1.2 | 1.8 | 1.9 | 3.6 | 3.0 | 2.4 |
| ES | 5.9 | 3.1 | 1.3 | 2.1 | 2.4 | 6.8 | 5.0 | 3.6 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme risk
Daily market risk forecasts and analysis© All rights reserved, Jon Danielsson,