Microsoft, equity, United States, 18 April, 2024


MXX
MERVAL

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 2.6 2.9 3.1 4.5 1.7 3.6
ES 5.5 4.6 3.0 3.3 3.8 5.7 1.9 4.3

Price drop given year

...

Probability of price drop

...

Autocorrelations

...

Quantile-Quantile plots

...

MXX
MERVAL

Extreme risk
Daily market risk forecasts and analysis
© All rights reserved, Jon Danielsson,