IAG, equity, United Kingdom, 15 September, 2023
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 | 9.4 | 9.1 | 4.0 | 4.5 | 5.5 | 10.5 | 2.6 | 7.2 |
| ES | 17.0 | 10.4 | 4.6 | 5.1 | 7.6 | 16.0 | 3.7 | 10.1 |
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,