KFX, 20 December, 2024
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 | 3.2 | 3.6 | 15.000001 | 10.400001 | 3.5 | 4.7 | 6.5 |
| ES | 5.1 | 3.7 | 4.1 | 17.200001 | 13.300000 | 4.9 | 4.7 | 8.0 |
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,