TASI, index, Saudi Arabia, 28 March, 2024


TOPIX
SX5E

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 2.7 2.1 1.4 1.6 1.7 2.6 2.0 2.0
ES 3.9 2.4 1.6 1.8 2.2 4.2 2.7 2.7

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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TOPIX
SX5E

Extreme risk
Daily market risk forecasts and analysis
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