Tesla, equity, United States, 30 November, 2023
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 | 12.3 | 10.0 | 7.2 | 7.7 | 8.7 | 11.8 | 1.7 | 9.6 |
| ES | 16.0 | 11.5 | 8.3 | 8.8 | 11.5 | 17.2 | 2.1 | 12.2 |
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,