Hang Seng, index, Hong Kong, 23 May, 2024


IBEX
HSBA

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 3.8 3.6 3.2 3.2 3.5 3.7 1.2 3.5
ES 4.8 4.1 3.7 3.7 4.2 5.1 1.4 4.3

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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IBEX
HSBA

Extreme risk
Daily market risk forecasts and analysis
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