Apple, equity, United States, 23 May, 2024


AEX
JSE40

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.9 4.3 3.6 3.6 3.9 4.7 1.4 4.2
ES 5.9 4.9 4.1 4.2 5.0 6.3 1.5 5.1

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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AEX
JSE40

Extreme risk
Daily market risk forecasts and analysis
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