One day market risk for S&P/NZX 50 INDEX GROSS (New Zealand) on 2026-03-23

← NIFTY50

NZX50

S&P/NZX 50 INDEX GROSS (New Zealand)

OMX →

Value-at-RiskVaR

2.03NZ$

↓ 0.021%

from yesterday

Expected ShortfallES

2.48NZ$

↓ 0.025%

from yesterday

25% Drop Probability25% Drop

4.1%

↓ 0.045%

from yesterday

Years Until 25% Drop25% Freq.

24.1years

↑ 0.259%

from yesterday

Model RiskModel Risk

1.49

↓ 0.037%

from yesterday

Risk Forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	Mean	ModelRisk
VaR	1.92	1.62	2.43	2.16	2.29	1.78	2.03	1.49
ES	2.38	1.86	2.78	2.47	2.83	2.58	2.48	1.52

Returns Time Series

Returns chart for NZX50

Returns Distribution

Density chart for NZX50

Value at Risk (VaR)

VaR chart for NZX50

Expected Shortfall (ES)

ES chart for NZX50

Autocorrelation Function

ACF chart for NZX50

QQ Plots

QQ plots for NZX50

Extreme Event Analysis

Extreme events chart for NZX50