GBP/EUR, 22 September, 2023
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 | 1.2 | 1.0 | 0.6 | 0.8 | 0.8 | 1.1 | 2.1 | 0.9 |
| ES | 1.5 | 1.2 | 0.6 | 0.9 | 1.1 | 1.5 | 2.3 | 1.1 |
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,