Apple, 25 April, 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 | 9.5 | 8.5 | 9.8 | 4.7 | 2.4 | 6.9 |
| ES | 6.0 | 4.8 | 10.9 | 9.8 | 12.8 | 6.2 | 2.7 | 8.4 |
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,