N225, 04 February, 2025
NASDAQ
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 | 3.1 | 3.0 | 2.6 | 3.1 | 3.2 | 3.2 | 1.2 | 3.0 |
| ES | 4.9 | 3.5 | 3.0 | 3.5 | 4.0 | 4.4 | 1.6 | 3.9 |
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,