VND, 25 April, 2025
WIG20
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 | 5.2 | 3.4 | 6.2 | 4.6 | 5.700000 | 5.0 | 1.8 | 5.0 |
| ES | 6.1 | 3.8 | 7.1 | 5.2 | 7.900001 | 6.4 | 2.0 | 6.1 |
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,