Extreme Risk: MOEX

MOEX

MXX

Returns

...

VaR

...

ES

...

Risk forecast

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 5.2 4.7 6.3 9.1 8.4 5.2 1.9 6.5
ES 10.9 5.4 7.2 10.4 11.1 10.9 2.0 9.3

Price drop given year

Probability of price drop

Data and normal density

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MOEX

MXX