S&P/NZX 50 INDEX GROSS, 04 December, 2024


OMX
NIFTY50

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 1.9 1.6 1.6 1.6 1.6 1.7 1.2 1.7
ES 2.2 1.9 1.8 1.8 2.0 2.3 1.3 2.0

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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OMX
NIFTY50

Extreme risk
Daily market risk forecasts and analysis
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