KFX, 20 January, 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 | 3.50000000 | 3.29999995 | 6.50000000 | 4.19999981 | 5.79999971 | 3.50000000 | 2.00000000 | 4.50000000 |
| ES | 5.09999990 | 3.70000005 | 7.40000010 | 4.80000019 | 7.40000010 | 4.90000010 | 2.00000000 | 5.60000038 |
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,