Deutche Bank, 18 June, 2025
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 | 8.7 | 5.5 | 4.6 | 4.9 | 5.7 | 8.000000 | 1.9 | 6.200000 |
| ES | 10.2 | 6.3 | 5.3 | 5.6 | 8.4 | 11.599999 | 2.2 | 7.900001 |
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,