Merval, index, Argentina, 25 April, 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 | 6.4 | 6.1 | 1.6 | 0.2 | 0.0 | 6.6 | 7.052200e+18 | 3.5 |
| ES | 8.6 | 7.0 | 1.9 | 0.3 | 0.0 | 8.8 | 7.646723e+18 | 4.4 |
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,