Shell, equity, United Kingdom, 26 May, 2023


SP500
SHCOMP

Returns

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Data density with normal and t(3)

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Value-at-Risk

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Expexted Shortfall

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Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 7.1 5.6 3.4 3.7 4.1 6.8 2.1 5.1
ES 10.8 6.4 3.8 4.2 5.5 11.4 3.0 7.0

Price drop given year

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Probability of price drop

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Autocorrelations

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Quantile-Quantile plots

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SP500
SHCOMP

Extreme risk
Daily market risk forecasts and analysis
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