Microsoft, 17 January, 2025
NASDAQ
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 | 4.30000019 | 3.79999995 | 2.80000019 | 3.09999990 | 3.29999995 | 4.30000019 | 1.50000000 | 3.59999990 |
| ES | 5.20000029 | 4.40000010 | 3.20000005 | 3.50000000 | 4.09999990 | 5.20000029 | 1.60000002 | 4.30000019 |
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,