Apple, equity, United States, 30 November, 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 | 4.9 | 2.3 | 2.8 | 3.0 | 5.7 | 2.5 | 4.1 |
| ES | 7.9 | 5.6 | 2.7 | 3.2 | 3.8 | 8.1 | 3.0 | 5.2 |
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,