Tesla, equity, United States, 16 October, 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 | 9.8 | 8.6 | 8.3 | 8.4 | 9.5 | 9.9 | 1.2 | 9.1 |
ES | 12.0 | 9.9 | 9.6 | 9.6 | 12.3 | 12.2 | 1.3 | 10.9 |
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,