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 | 1.9 | 1.6 | 1.3 | 1.3 | 1.4 | 1.7 | 1.4 | 1.5 |
| ES | 2.6 | 1.8 | 1.5 | 1.5 | 1.8 | 2.7 | 1.8 | 2.0 |
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,