KFX, index, Denmark, 26 May, 2023


KOSPI
JPYEUR

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 3.3 2.9 3.2 3.2 3.3 3.3 1.1 3.2
ES 4.4 3.4 3.7 3.7 3.9 4.4 1.3 3.9

Price drop given year

...

Probability of price drop

...

Autocorrelations

...

Quantile-Quantile plots

...

KOSPI
JPYEUR

Extreme risk
Daily market risk forecasts and analysis
© All rights reserved, Jon Danielsson,