Merval, 04 December, 2024
MOEX
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 | 6.0 | 3.8 | 5.0 | 5.4 | 6.2 | 1.7 | 5.5 |
| ES | 9.0 | 6.9 | 4.4 | 5.8 | 6.5 | 9.5 | 2.2 | 7.0 |
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,