Apple, 16 May, 2025
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 | 4.9 | 4.2 | 7.300000 | 6.3 | 7.4 | 4.7 | 1.8 | 5.8 |
| ES | 6.0 | 4.8 | 8.299999 | 7.2 | 9.8 | 6.2 | 2.0 | 7.1 |
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,