CHF/EUR, 30 November, 2023


DAX
CAC40

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 1.0 0.8 0.6 0.5 0.6 1.0 1.8 0.7
ES 1.4 0.9 0.6 0.6 0.8 1.4 2.2 0.9

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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DAX
CAC40

Extreme risk
Daily market risk forecasts and analysis
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