IBEX

IBEX 35

4 July 2025

Returns

Returns chart for IBEX showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for IBEX showing risk forecasts

Expected Shortfall

Expected Shortfall chart for IBEX showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	3.2	2.4	1.9	2.4	2.5	3.0	1.7	2.6
ES	4.2	2.8	2.2	2.8	3.1	4.9	2.2	3.3

Price drop given year

Price drop given year chart for IBEX showing historical decline patterns

Probability of price drop

Probability of price drop chart for IBEX showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

Extreme Risk. Daily Market Risk Forecasts

Real-time market risk analysis and forecasts for global financial markets
© All rights reserved, Jon Danielsson, 2025