MXX, 20 January, 2025

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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	2.20000005	2.09999990	1.60000002	2.00000000	2.00000000	2.20000005	1.39999998	2.00000000
ES	2.80000019	2.40000010	1.79999995	2.29999995	2.60000014	2.70000005	1.50000000	2.40000010

Price drop given year

Probability of price drop

Autocorrelations

Quantile-Quantile plots

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