Apple, 17 January, 2025
AMZN
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 | 4.30000019 | 3.90000010 | 3.70000005 | 3.59999990 | 3.90000010 | 4.30000019 | 1.20000005 | 3.90000010 |
| ES | 5.09999990 | 4.40000010 | 4.19999981 | 4.09999990 | 4.90000010 | 5.20000029 | 1.29999995 | 4.69999981 |
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,