KOSPI, index, Korea, 12 June, 2024


MERVAL
KFX

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 2.6 2.5 2.5 2.4 2.5 2.7 1.2 2.5
ES 3.3 2.9 2.8 2.7 3.0 3.3 1.2 3.0

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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MERVAL
KFX

Extreme risk
Daily market risk forecasts and analysis
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