Microsoft, equity, United States, 30 November, 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 | 4.8 | 3.2 | 3.3 | 3.6 | 5.3 | 1.7 | 4.3 |
| ES | 7.7 | 5.5 | 3.7 | 3.8 | 4.6 | 7.6 | 2.1 | 5.5 |
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,