Merval, index, Argentina, 12 September, 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 | 5.5 | -0.0 | 0.0 | 0.0 | 6.2 | -inf | 3.0 |
| ES | 8.4 | 6.3 | 0.0 | 0.0 | 0.0 | 9.1 | inf | 4.0 |
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,