Deutche Bank, 20 December, 2024
FTSE100
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 | 7.900001 | 5.2 | 3.3 | 4.3 | 5.0 | 7.3 | 2.4 | 5.5 |
| ES | 9.800000 | 6.0 | 3.8 | 4.9 | 7.2 | 11.0 | 2.9 | 7.1 |
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,