Tesla, 12 December, 2024
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 | 9.8 | 8.7 | 10.100000 | 9.3 | 11.300000 | 9.9 | 1.3 | 9.800000 |
| ES | 12.0 | 10.0 | 11.599999 | 10.7 | 15.000001 | 12.2 | 1.5 | 11.900001 |
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,