Microsoft, equity, United States, 03 October, 2024
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 | 2.8 | 2.9 | 3.2 | 4.3 | 1.6 | 3.6 |
ES | 5.1 | 4.4 | 3.2 | 3.4 | 3.9 | 5.1 | 1.6 | 4.2 |
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,