Apple, 20 May, 2025
AEX
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 | 4.9 | 4.2 | 6.900000 | 5.9 | 7.000000 | 4.7 | 1.7 | 5.6 |
| ES | 6.0 | 4.8 | 7.900001 | 6.8 | 9.099999 | 6.2 | 1.9 | 6.8 |
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,