Tesla, 21 March, 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 | 10.200000 | 8.7 | 12.0 | 10.7 | 13.0 | 10.2 | 1.5 | 10.800000 |
| ES | 12.700001 | 10.0 | 13.7 | 12.3 | 17.1 | 12.9 | 1.7 | 13.099999 |
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,