NIFTY 50, 04 December, 2024


NZX50
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 2.7 2.1 2.2 2.1 2.3 2.5 1.3 2.3
ES 3.6 2.4 2.5 2.4 2.9 3.9 1.6 3.0

Price drop given year

...

Probability of price drop

...

Autocorrelations

...

Quantile-Quantile plots

...

NZX50
NGX

Extreme risk
Daily market risk forecasts and analysis
© All rights reserved, Jon Danielsson,