IBM, equity, United States, 12 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 | 5.4 | 4.1 | 1.5 | 2.7 | 2.6 | 5.5 | 3.7 | 3.6 |
| ES | 8.4 | 4.6 | 1.7 | 3.0 | 3.6 | 9.7 | 5.8 | 5.2 |
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,