Tesla, 14 January, 2025
TWSE
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 | 9.80000019 | 8.80000019 | 9.80000019 | 9.30000019 | 11.10000038 | 9.89999962 | 1.29999995 | 9.80000019 |
| ES | 12.00000000 | 10.00000000 | 11.20000076 | 10.59999943 | 14.59999943 | 12.19999981 | 1.50000000 | 11.80000019 |
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,