Returns
Data density with normal and t(3)
Value-at-Risk
Expected Shortfall
Risk forecasts
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 8.7 | 5.5 | 4.8 | 5.3 | 6.3 | 7.8 | 1.8 | 6.400000 |
ES | 10.2 | 6.3 | 5.5 | 6.1 | 9.4 | 12.4 | 2.3 | 8.299999 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme Risk. Daily Market Risk Forecasts
Real-time market risk analysis and forecasts for global financial markets© All rights reserved, Jon Danielsson,