Citigroup, 20 December, 2024
CAC40
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 | 4.3 | 4.1 | 3.9 | 4.1 | 4.5 | 4.2 | 1.2 | 4.2 |
| ES | 5.5 | 4.7 | 4.4 | 4.7 | 5.7 | 6.0 | 1.4 | 5.2 |
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,