Amazon, equity, United States, 30 November, 2023
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 | 5.5 | 4.4 | 3.8 | 5.4 | 6.4 | 1.8 | 5.4 |
| ES | 8.6 | 6.3 | 5.0 | 4.4 | 7.2 | 8.7 | 2.0 | 6.7 |
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,