BIST 100, index, Turkey, 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 | 6.3 | 4.2 | 6.1 | 5.5 | 6.2 | 5.9 | 1.5 | 5.7 |
| ES | 8.1 | 4.8 | 6.9 | 6.3 | 8.9 | 9.2 | 1.9 | 7.4 |
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,