Amazon, equity, United States, 18 June, 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 | 5.8 | 5.3 | 2.7 | 3.4 | 3.7 | 6.1 | 2.2 | 4.5 |
ES | 8.2 | 6.0 | 3.1 | 3.8 | 4.7 | 8.3 | 2.6 | 5.7 |
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,