Australia All Ordinaries, 14 January, 2025


BEL20
AMZN

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 2.29999995 1.89999998 1.60000002 1.79999995 1.89999998 2.29999995 1.39999998 1.89999998
ES 2.80000019 2.09999990 1.89999998 2.00000000 2.29999995 2.89999986 1.60000002 2.40000010

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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BEL20
AMZN

Extreme risk
Daily market risk forecasts and analysis
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