Amazon, equity, United States, 27 March, 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 | 5.4 | 3.4 | 3.5 | 4.4 | 6.3 | 1.8 | 4.8 |
ES | 8.4 | 6.2 | 3.9 | 4.1 | 5.8 | 8.5 | 2.2 | 6.1 |
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,