KOSPI Previous

MOEX

MOEX
4 July 2025
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Returns

Returns chart for MOEX showing historical price movements

Data density with normal and t(3)

Data density chart for MOEX with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for MOEX showing risk forecasts

Expected Shortfall

Expected Shortfall chart for MOEX showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.6 4.8 2.7 2.4 2.8 4.9 2.0 3.7
ES 10.3 5.5 3.1 2.8 3.8 9.2 3.7 5.8

Price drop given year

Price drop given year chart for MOEX showing historical decline patterns

Probability of price drop

Probability of price drop chart for MOEX showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for MOEX

Quantile-Quantile plots

Quantile-Quantile QQ plots for MOEX across various tail thicknesses.
Extreme Risk. Daily Market Risk Forecasts
Real-time market risk analysis and forecasts for global financial markets
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