Amazon, 14 January, 2025
AORD
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 | 6.09999990 | 5.20000029 | 3.90000010 | 3.70000005 | 4.80000019 | 6.19999981 | 1.70000005 | 5.00000000 |
| ES | 8.50000000 | 5.90000010 | 4.50000000 | 4.19999981 | 6.30000019 | 9.09999943 | 2.20000005 | 6.40000010 |
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,