NZX50 Previous

SET

SET
15 August 2025
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Returns

Returns chart for SET showing historical price movements

Data density with normal and t(3)

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

Value-at-Risk

Value-at-Risk chart for SET showing risk forecasts

Expected Shortfall

Expected Shortfall chart for SET showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 2.20000005 1.89999998 2.89999986 2.29999995 2.60000014 2.29999995 1.50000000 2.40000010
ES 2.80000019 2.20000005 3.40000010 2.60000014 3.29999995 2.89999986 1.50000000 2.89999986

Price drop given year

Price drop given year chart for SET showing historical decline patterns

Probability of price drop

Probability of price drop chart for SET showing risk event likelihood

Autocorrelations

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

Quantile-Quantile plots

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

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

© Jon Danielsson