Citigroup, equity, United States, 30 November, 2023

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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	7.2	6.1	3.4	3.7	4.0	7.4	2.2	5.3
ES	12.0	7.0	3.9	4.2	5.2	12.2	3.1	7.4

Price drop given year

Probability of price drop

Autocorrelations

Quantile-Quantile plots

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