Merval, index, Argentina, 24 May, 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 | 7.0 | 7.1 | 5.2 | 4.4 | 5.3 | 7.7 | 1.7 | 6.1 |
| ES | 14.7 | 8.1 | 5.9 | 5.1 | 6.8 | 13.8 | 2.9 | 9.1 |
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,