SP500TR, index, United States, 15 May, 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 | 4.4 | 3.4 | 2.0 | 1.9 | 2.1 | 4.3 | 2.3 | 3.0 |
| ES | 6.5 | 3.9 | 2.3 | 2.2 | 2.6 | 6.4 | 3.0 | 4.0 |
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,