Returns
Data density with normal and t(3)
Value-at-Risk
Expected Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.0 | 3.5 | 3.7 | 2.7 | 4.2 | 3.9 | 1.5 | 3.7 |
| ES | 5.8 | 4.0 | 4.2 | 3.1 | 5.4 | 6.0 | 1.9 | 4.8 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme Risk. Daily Market Risk Forecasts
Real-time market risk analysis and forecasts for global financial markets© All rights reserved, Jon Danielsson,