IAG, equity, United Kingdom, 26 May, 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 | 3.9 | 5.1 | 5.7 | 10.5 | 2.7 | 7.3 |
| ES | 17.0 | 10.5 | 4.5 | 5.8 | 7.8 | 16.0 | 3.8 | 10.3 |
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,