TOPXDV, index, Japan, 15 May, 2023


JSE40
SP500TR

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 2.9 2.6 1.8 2.0 2.1 2.8 1.6 2.4
ES 3.8 2.9 2.1 2.2 2.6 4.1 2.0 3.0

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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JSE40
SP500TR

Extreme risk
Daily market risk forecasts and analysis
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