MERVAL Previous

MSFT

Microsoft
15 August 2025
N225 Next

Returns

Returns chart for MSFT showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for MSFT showing risk forecasts

Expected Shortfall

Expected Shortfall chart for MSFT showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.30000019 4.00000000 2.80000019 3.20000005 3.59999990 4.40000010 1.60000002 3.70000005
ES 5.40000010 4.50000000 3.20000005 3.70000005 4.80000019 5.40000010 1.70000005 4.50000000

Price drop given year

Price drop given year chart for MSFT showing historical decline patterns

Probability of price drop

Probability of price drop chart for MSFT showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

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

© Jon Danielsson