KFX, 03 February, 2025
KLCI
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 | 3.5 | 3.3 | 5.4 | 3.1 | 4.8 | 3.5 | 1.7 | 3.9 |
| ES | 5.1 | 3.7 | 6.2 | 3.5 | 6.1 | 4.9 | 1.7 | 4.9 |
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,