Apple, equity, United States, 26 May, 2023
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 | 5.8 | 5.0 | 2.8 | 3.2 | 3.5 | 5.8 | 2.1 | 4.3 |
| ES | 7.9 | 5.7 | 3.2 | 3.7 | 4.3 | 8.1 | 2.5 | 5.5 |
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,