Amazon, 17 January, 2025
C
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 | 6.09999990 | 5.20000029 | 3.79999995 | 4.59999990 | 4.80000019 | 6.19999981 | 1.60000002 | 5.09999990 |
| ES | 8.50000000 | 5.90000010 | 4.30000019 | 5.29999971 | 6.40000010 | 9.09999943 | 2.09999990 | 6.59999990 |
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,