Citigroup, 04 February, 2025
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 | 4.2 | 4.0 | 4.0 | 4.0 | 4.3 | 4.1 | 1.1 | 4.1 |
| ES | 5.2 | 4.6 | 4.6 | 4.6 | 5.5 | 5.5 | 1.2 | 5.0 |
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,