Amazon, 16 June, 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 | 4.5 | 4.2 | 5.900000 | 6.4 | 1.7 | 5.6 |
| ES | 8.8 | 6.2 | 5.2 | 4.8 | 7.900001 | 9.0 | 1.9 | 7.0 |
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,