JP Morgan, equity, United States, 18 April, 2024


KFX
JKSE

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 4.1 3.9 4.1 4.4 4.7 4.1 1.2 4.2
ES 5.5 4.5 4.7 5.0 6.0 5.8 1.3 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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KFX
JKSE

Extreme risk
Daily market risk forecasts and analysis
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