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GOLD

Gold
15 July 2025
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Returns

Returns chart for GOLD showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for GOLD showing risk forecasts

Expected Shortfall

Expected Shortfall chart for GOLD showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 2.7 2.2 2.1 2.0 2.6 2.5 1.3 2.3
ES 3.0 2.5 2.4 2.3 3.4 3.2 1.5 2.8

Price drop given year

Price drop given year chart for GOLD showing historical decline patterns

Probability of price drop

Probability of price drop chart for GOLD showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

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

© Jon Danielsson