Extreme Risk: OMXH25
OMX

OMXH25

Returns

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VaR

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ES

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Risk forecast

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.3 3.1 2.7 2.9 3.1 3.9 1.6 3.3
ES 5.4 3.5 3.1 3.3 3.9 5.8 1.9 4.2

Price drop given year

Probability of price drop

Data and normal density

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OMX

OMXH25