Merval, 17 February, 2025


MOEX
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 6.1 6.4 7.2 7.600000 6.3 1.2 6.700000
ES 9.0 7.0 7.4 8.2 9.099999 9.3 1.3 8.299999

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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MOEX
KOSPI

Extreme risk
Daily market risk forecasts and analysis
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