PROMETHEUS ANALYTICS offers a risk analysis and monitoring model following the approach developed by Diebold and Yilmaz (2009 and 2014).

Dernière version : 29 juillet, 2023

Rentability Analysis

Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Total Connectedness Index (TCI)


GSPC


GSPTSE


IBX50


MXX


SSMI


RTSI


N225


SSEC


KOSPI200


NZ50


FCHI


GDAXI


IBEX


List

GSPC: S&P 500 Index
GSPTSE: S&P TSX Composite Index
IBX50: Bovespa Brezil 50
MXX: Mexico S&P/IBMV IPC
SSMI: Swiss Market Index
RTSI: RTSI Index
N225: Nikkei 225
SSEC: Shanghai Composite
KOSPI200: KOSPI 200
NZ50: S&P/NZX50 Index Gross
FCHI: Cac 40 Index
GDAXI: Dax Index
IBEX: IBEX 35 Index


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.


Volatility Analysis

Connectedness Measures


Pairwise Connectedness Measures


Net Pairwise Connectedness Measures


Total Connectedness Index (TCI)


GSPC


GSPTSE


IBX50


MXX


SSMI


RTSI


N225


SSEC


KOSPI200


NZ50


FCHI


GDAXI


IBEX


List

GSPC: S&P 500 Index
GSPTSE: S&P TSX Composite Index
IBX50: Bovespa Brezil 50
MXX: Mexico S&P/IBMV IPC
SSMI: Swiss Market Index
RTSI: RTSI Index
N225: Nikkei 225
SSEC: Shanghai Composite
KOSPI200: KOSPI 200
NZ50: S&P/NZX50 Index Gross
FCHI: Cac 40 Index
GDAXI: Dax Index
IBEX: IBEX 35 Index


Methodology

Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.