IBEX 35, index, Spain, 10 June, 2024


ICEX
HSBA

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 3.1 2.5 2.0 2.1 2.2 2.9 1.6 2.5
ES 3.8 2.9 2.2 2.4 2.8 4.0 1.8 3.0

Price drop given year

...

Probability of price drop

...

Autocorrelations

...

Quantile-Quantile plots

...

ICEX
HSBA

Extreme risk
Daily market risk forecasts and analysis
© All rights reserved, Jon Danielsson,