BIST 100, index, Turkey, 30 November, 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 | 4.4 | 4.1 | 3.5 | 4.1 | 6.0 | 1.8 | 4.7 |
| ES | 8.2 | 5.0 | 4.7 | 4.0 | 5.7 | 9.6 | 2.4 | 6.2 |
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,