One day market risk for SET (Thailand) on 2026-01-16

← SENSEX

SET

SET (Thailand)

SHCOMP →

Value-at-RiskVaR

2.2฿

↑ 0.024%

from yesterday

Expected ShortfallES

2.65฿

↑ 0.028%

from yesterday

25% Drop Probability25% Drop

4%

↑ 0.05%

from yesterday

Years Until 25% Drop25% Freq.

25.2years

↓ 0.323%

from yesterday

Model RiskModel Risk

1.22

↑ 0.017%

from yesterday

Risk Forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	Mean	ModelRisk
VaR	2.2	1.94	2.19	2.24	2.37	2.28	2.2	1.22
ES	2.82	2.23	2.5	2.57	2.94	2.81	2.65	1.32

Returns Time Series

Returns chart for SET

Returns Distribution

Density chart for SET

Value at Risk (VaR)

VaR chart for SET

Expected Shortfall (ES)

ES chart for SET

Autocorrelation Function

ACF chart for SET

QQ Plots

QQ plots for SET

Extreme Event Analysis

Extreme events chart for SET