Returns
Data density with normal and t(3)
Value-at-Risk
Expected Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.6 | 4.8 | 2.6 | 2.8 | 3.1 | 4.9 | 1.9 | 3.8 |
| ES | 10.3 | 5.5 | 3.0 | 3.2 | 4.3 | 9.2 | 3.4 | 5.9 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme Risk. Daily Market Risk Forecasts
Real-time market risk analysis and forecasts for global financial markets© All rights reserved, Jon Danielsson,