Apple, equity, United States, 12 September, 2024
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 | 4.7 | 4.1 | 2.8 | 3.3 | 3.5 | 4.4 | 1.7 | 3.8 |
| ES | 5.3 | 4.7 | 3.3 | 3.8 | 4.5 | 5.5 | 1.7 | 4.5 |
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,