MOEX, 20 December, 2024
MSFT
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 | 4.6 | 4.7 | 3.6 | 9.800000 | 9.2 | 4.9 | 2.7 | 6.1 |
| ES | 10.3 | 5.4 | 4.1 | 11.200001 | 12.5 | 9.3 | 3.0 | 8.8 |
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,