Merval, 03 February, 2025
MOEX
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 | 6.4 | 6.1 | 6.6 | 6.6 | 7.0 | 6.2 | 1.1 | 6.5 |
| ES | 9.0 | 7.0 | 7.6 | 7.6 | 8.4 | 9.6 | 1.4 | 8.2 |
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,