DAXMIDCAP

DAX MIDCAP

15 August 2025

Returns

Returns chart for DAXMIDCAP showing historical price movements

Data density with normal and t(3)

Data density chart for DAXMIDCAP with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for DAXMIDCAP showing risk forecasts

Expected Shortfall

Expected Shortfall chart for DAXMIDCAP showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	3.40000010	2.89999986	2.09999990	2.09999990	2.20000005	3.29999995	1.60000002	2.70000005
ES	4.00000000	3.29999995	2.40000010	2.40000010	2.70000005	4.30000019	1.79999995	3.20000005

Price drop given year

Price drop given year chart for DAXMIDCAP showing historical decline patterns

Probability of price drop

Probability of price drop chart for DAXMIDCAP showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for DAXMIDCAP

Quantile-Quantile plots

Quantile-Quantile QQ plots for DAXMIDCAP across various tail thicknesses.

Extreme Risk. Daily Market Risk Forecasts

Real-time market risk analysis and forecasts for global financial markets

© Jon Danielsson