NGSEASI, 12 December, 2024
NIFTY50
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 | 2.0 | 1.8 | 0.7 | 1.2 | 1.5 | 2.1 | 3.2 | 1.6 |
| ES | 2.5 | 2.1 | 0.7 | 1.4 | 2.9 | 2.5 | 3.9 | 2.0 |
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,