Australia All Ordinaries, index, Australia, 23 May, 2024


BIST100
AMZN

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 2.4 2.0 1.8 1.8 1.9 2.3 1.3 2.0
ES 2.8 2.3 2.1 2.0 2.3 3.0 1.5 2.4

Price drop given year

...

Probability of price drop

...

Autocorrelations

...

Quantile-Quantile plots

...

BIST100
AMZN

Extreme risk
Daily market risk forecasts and analysis
© All rights reserved, Jon Danielsson,