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FTSEMIB

FTSEMIB
14 August 2025
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Returns

Returns chart for FTSEMIB showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for FTSEMIB showing risk forecasts

Expected Shortfall

Expected Shortfall chart for FTSEMIB showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.09999990 2.80000019 2.29999995 2.40000010 2.60000014 3.70000005 1.79999995 3.00000000
ES 5.00000000 3.20000005 2.60000014 2.70000005 3.20000005 6.00000000 2.29999995 3.79999995

Price drop given year

Price drop given year chart for FTSEMIB showing historical decline patterns

Probability of price drop

Probability of price drop chart for FTSEMIB showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

Quantile-Quantile QQ plots for FTSEMIB across various tail thicknesses.
Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson