Returns
Data density with normal and t(3)
Value-at-Risk
Expected Shortfall
Risk forecasts
Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|
VaR | 5.2 | 3.3 | 1.7 | 2.3 | 2.6 | 5.0 | 3.0 | 3.4 |
ES | 6.1 | 3.8 | 2.0 | 2.7 | 3.6 | 6.4 | 3.3 | 4.1 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme Risk. Daily Market Risk Forecasts
Real-time market risk analysis and forecasts for global financial markets© All rights reserved, Jon Danielsson,