MXX, index, Mexico, 18 April, 2024


N225
MSFT

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 2.2 2.2 1.6 1.8 1.9 2.2 1.4 2.0
ES 2.4 2.5 1.8 2.1 2.2 2.5 1.4 2.3

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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N225
MSFT

Extreme risk
Daily market risk forecasts and analysis
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