TA-125, 04 December, 2024
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 | 3.0 | 2.4 | 2.0 | 2.2 | 2.3 | 2.9 | 1.5 | 2.4 |
ES | 3.7 | 2.7 | 2.3 | 2.5 | 2.7 | 3.7 | 1.6 | 2.9 |
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,