WIG20, 14 January, 2025
AAPL
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 | 3.09999990 | 3.29999995 | 2.60000014 | 2.70000005 | 2.89999986 | 3.29999995 | 1.29999995 | 3.00000000 |
| ES | 4.69999981 | 3.79999995 | 3.00000000 | 3.09999990 | 3.59999990 | 4.50000000 | 1.60000002 | 3.79999995 |
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,