BIST 100, index, Turkey, 18 April, 2024
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 | 5.4 | 4.3 | 4.2 | 4.3 | 5.0 | 5.4 | 1.3 | 4.8 |
ES | 7.8 | 4.9 | 4.8 | 5.0 | 6.8 | 9.8 | 2.0 | 6.5 |
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,