Microsoft, equity, United States, 26 May, 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 | 5.2 | 4.7 | 3.5 | 4.3 | 4.8 | 5.3 | 1.5 | 4.7 |
| ES | 7.7 | 5.4 | 4.0 | 5.0 | 6.1 | 7.6 | 1.9 | 6.0 |
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,