TWII, 25 April, 2025
USDEUR
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 | 3.9 | 2.9 | 7.4 | 6.2 | 5.6 | 3.6 | 2.5 | 4.9 |
| ES | 5.5 | 3.3 | 8.5 | 7.1 | 7.3 | 6.1 | 2.5 | 6.3 |
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,