Merval, 04 November, 2024
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 | 6.400000 | 6.1 | 3.7 | 4.6 | 4.8 | 6.400000 | 1.7 | 5.3 |
| ES | 9.099999 | 7.0 | 4.3 | 5.2 | 5.8 | 9.700001 | 2.3 | 6.9 |
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,