Microsoft, 25 April, 2025
MXX
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 | 4.3 | 3.9 | 6.1 | 5.3 | 6.100000 | 4.4 | 1.6 | 5.0 |
| ES | 5.4 | 4.5 | 7.0 | 6.1 | 7.900001 | 5.4 | 1.8 | 6.1 |
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,