Extreme Risk: DAXMIDCAP
DAX

DAXMIDCAP

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 3.8 3.1 4.0 4.0 4.4 4.0 1.4 3.9
ES 5.4 3.5 4.6 4.6 5.4 5.2 1.5 4.8

Price drop given year

Probability of price drop

Data and normal density

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DAX

DAXMIDCAP