Apple, 12 December, 2024
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 | 4.3 | 3.9 | 2.2 | 2.8 | 2.8 | 4.3 | 2.0 | 3.4 |
| ES | 5.1 | 4.5 | 2.5 | 3.2 | 3.6 | 5.2 | 2.1 | 4.0 |
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,