TA-125, 15 January, 2025
TASI
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 | 3.00000000 | 2.40000010 | 1.70000005 | 2.20000005 | 2.20000005 | 2.89999986 | 1.70000005 | 2.40000010 |
| ES | 3.70000005 | 2.70000005 | 2.00000000 | 2.50000000 | 2.70000005 | 3.70000005 | 1.89999998 | 2.89999986 |
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,