Hang Seng, 17 February, 2025
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 | 3.8 | 3.7 | 3.5 | 4.0 | 4.1 | 3.8 | 1.2 | 3.8 |
ES | 5.1 | 4.3 | 4.0 | 4.5 | 5.0 | 5.4 | 1.3 | 4.7 |
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,