IBEX 35, 20 January, 2025
ICEX
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 | 2.89999986 | 2.29999995 | 1.79999995 | 2.00000000 | 2.09999990 | 2.80000019 | 1.60000002 | 2.29999995 |
| ES | 3.70000005 | 2.60000014 | 2.09999990 | 2.20000005 | 2.50000000 | 4.00000000 | 2.00000000 | 2.89999986 |
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,