BOVESPA, index, Brazil, 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 | 5.0 | 4.2 | 2.3 | 2.4 | 2.6 | 4.9 | 2.2 | 3.6 |
| ES | 9.2 | 4.8 | 2.6 | 2.8 | 3.1 | 11.1 | 4.3 | 5.6 |
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,