IBEX 35, index, Spain, 23 February, 2024


JKSE
HSI

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 3.5 2.8 1.7 1.9 2.1 3.2 2.1 2.5
ES 4.1 3.2 1.9 2.2 2.6 4.6 2.4 3.1

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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JKSE
HSI

Extreme risk
Daily market risk forecasts and analysis
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