Amazon, equity, United States, 16 October, 2024
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 | 3.6 | 3.7 | 4.8 | 6.3 | 1.8 | 4.9 |
ES | 8.5 | 5.9 | 4.1 | 4.2 | 6.3 | 8.7 | 2.1 | 6.3 |
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,