NASDAQ Composite, 24 June, 2025
NGX
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 | 4.2 | 3.5 | 6.7 | 6.0 | 6.5 | 4.1 | 1.9 | 5.1 |
| ES | 4.9 | 4.0 | 7.6 | 6.9 | 7.8 | 5.2 | 2.0 | 6.1 |
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,