MERVAL

Merval

12 September 2025

Returns

Returns chart for MERVAL showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for MERVAL showing risk forecasts

Expected Shortfall

Expected Shortfall chart for MERVAL showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	6.70000029	6.50000000	9.30000019	9.60000038	10.40000057	6.80000019	1.60000002	8.19999981
ES	9.89999962	7.40000010	10.59999943	11.00000000	12.70000076	10.40000057	1.70000005	10.40000057

Price drop given year

Price drop given year chart for MERVAL showing historical decline patterns

Probability of price drop

Probability of price drop chart for MERVAL showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson