ICEX, index, Iceland, 26 May, 2023
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 | 3.4 | 2.7 | 4.0 | 2.7 | 3.1 | 3.5 | 1.5 | 3.2 |
| ES | 5.0 | 3.1 | 4.6 | 3.1 | 4.0 | 5.3 | 1.7 | 4.2 |
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,