SHCOMP, index, China, 18 April, 2024


SP500
SENSEX

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 2.6 2.3 2.1 2.7 2.8 2.7 1.3 2.5
ES 3.7 2.7 2.4 3.1 3.5 3.7 1.5 3.2

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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SP500
SENSEX

Extreme risk
Daily market risk forecasts and analysis
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