OMX 30, Index, Sweden, 22 September, 2023
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 | 3.9 | 3.0 | 1.5 | 2.1 | 2.2 | 3.8 | 2.6 | 2.8 |
ES | 5.2 | 3.5 | 1.7 | 2.4 | 2.9 | 5.2 | 3.0 | 3.5 |
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,