HSBC, equity, United Kingdom, 19 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 | 4.7 | 4.2 | 2.4 | 3.3 | 3.9 | 4.8 | 2.0 | 3.9 |
ES | 6.8 | 4.8 | 2.7 | 3.7 | 5.7 | 7.0 | 2.5 | 5.1 |
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,