JPM

JP Morgan

7 October 2025

Returns

Returns chart for JPM showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for JPM showing risk forecasts

Expected Shortfall

Expected Shortfall chart for JPM showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	4.69999981	3.70000005	2.09999990	3.09999990	3.40000010	4.59999990	2.20000005	3.59999990
ES	6.00000000	4.30000019	2.50000000	3.50000000	4.59999990	6.59999990	2.70000005	4.59999990

Price drop given year

Price drop given year chart for JPM showing historical decline patterns

Probability of price drop

Probability of price drop chart for JPM showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson