Merval, index, Argentina, 23 May, 2024


MSFT
KOSPI

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 6.4 5.9 0.9 0.0 0.0 6.5 3.905404e+15 3.3
ES 8.6 6.8 1.1 0.1 0.0 9.0 3.401043e+15 4.2

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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MSFT
KOSPI

Extreme risk
Daily market risk forecasts and analysis
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