N225

N225

17 September 2025

Returns

Returns chart for N225 showing historical price movements

Data density with normal and t(3)

Data density chart for N225 with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for N225 showing risk forecasts

Expected Shortfall

Expected Shortfall chart for N225 showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	3.09999990	3.20000005	2.29999995	2.40000010	2.70000005	3.40000010	1.50000000	2.80000019
ES	5.40000010	3.59999990	2.70000005	2.70000005	3.29999995	5.20000029	2.00000000	3.79999995

Price drop given year

Price drop given year chart for N225 showing historical decline patterns

Probability of price drop

Probability of price drop chart for N225 showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for N225

Quantile-Quantile plots

Quantile-Quantile QQ plots for N225 across various tail thicknesses.

Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson