Tesla, equity, United States, 18 June, 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 | 10.2 | 9.0 | 6.9 | 7.7 | 8.6 | 10.2 | 1.5 | 8.8 |
ES | 13.1 | 10.3 | 7.9 | 8.8 | 11.2 | 13.4 | 1.7 | 10.8 |
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,