KFX, 28 May, 2025
AAPL
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 | 4.0 | 3.4 | 4.3 | 3.7 | 4.5 | 3.9 | 1.3 | 4.0 |
| ES | 5.8 | 3.9 | 4.9 | 4.2 | 5.9 | 6.1 | 1.5 | 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,