Amazon, 22 May, 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 | 7.0 | 5.4 | 6.6 | 4.5 | 7.3 | 6.4 | 1.6 | 6.2 |
| ES | 8.8 | 6.2 | 7.6 | 5.2 | 9.8 | 9.0 | 1.9 | 7.8 |
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,