SHCOMP, 30 May, 2025
TA125
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 | 2.6 | 2.4 | 2.0 | 2.0 | 2.2 | 2.8 | 1.4 | 2.3 |
| ES | 4.1 | 2.7 | 2.3 | 2.3 | 2.9 | 4.0 | 1.8 | 3.0 |
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,