Microsoft, equity, United States, 24 April, 2024
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 | 4.5 | 4.0 | 2.7 | 2.9 | 3.2 | 4.5 | 1.7 | 3.6 |
| ES | 5.5 | 4.6 | 3.1 | 3.4 | 4.0 | 5.7 | 1.9 | 4.4 |
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,