Amazon, 11 March, 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 | 6.1 | 5.2 | 4.5 | 5.0 | 5.0 | 6.200000 | 1.4 | 5.3 |
| ES | 8.5 | 5.9 | 5.2 | 5.8 | 6.6 | 9.099999 | 1.8 | 6.8 |
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,