WIG20, 04 December, 2024
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 | 3.3 | 3.4 | 3.2 | 3.2 | 3.4 | 3.3 | 1.1 | 3.3 |
| ES | 4.7 | 3.9 | 3.6 | 3.6 | 4.1 | 4.6 | 1.3 | 4.1 |
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,