Rio Tinto, equity, United Kingdom, 15 September, 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 | 5.3 | 4.8 | 3.4 | 5.0 | 5.4 | 5.3 | 1.6 | 4.9 |
| ES | 6.7 | 5.5 | 3.9 | 5.7 | 6.8 | 6.8 | 1.7 | 5.9 |
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,