Merval, index, Argentina, 29 November, 2023
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 | 7.6 | 6.6 | 15.9 | 17.4 | 17.9 | 7.4 | 2.7 | 12.1 |
ES | 10.9 | 7.5 | 18.2 | 20.0 | 21.7 | 11.8 | 2.9 | 15.0 |
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,