HSBC, equity, United Kingdom, 23 May, 2024


HSI
GC

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 5.1 4.3 2.8 3.7 3.7 4.9 1.8 4.1
ES 7.0 4.9 3.2 4.2 5.5 7.2 2.2 5.3

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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HSI
GC

Extreme risk
Daily market risk forecasts and analysis
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