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SET

฿ · SET (Thailand) · 29 Jun 2026
Value-at-RiskVaR
2.4฿
↑ 0.14% from yesterday
Expected ShortfallES
2.99฿
↑ 0.168% from yesterday
25% Drop Probability25% drop
prob.
4.7%
↑ 0.313% from yesterday
Years Until 25% Dropyears to
−25%
21.2years
↓ 1.513% from yesterday
Model Riskmodel
risk
1.28
↑ 0.123% from yesterday

Risk forecasts

VaR & Expected Shortfall, by method
Measure HS MA EWMA GARCH tGARCH EVT Mean ModelRisk
Value-at-Risk 2.35 2.12 2.16 2.63 2.72 2.45 2.4 1.28
Expected Shortfall 3.35 2.42 2.47 3.01 3.42 3.27 2.99 1.41

Returns

Daily log returns
Returns chart for SET

Value-at-Risk over time

Each method’s VaR forecast
Value-at-Risk over time chart for SET

Expected Shortfall over time

Each method’s ES forecast
Expected Shortfall over time chart for SET

Returns distribution

Empirical density vs fitted models
Returns distribution chart for SET

Autocorrelation

Returns and returns squared
Returns
Returns autocorrelation chart for SET
Returns squared
Returns squared autocorrelation chart for SET

QQ plots

Tail behaviour against reference distributions
Normal
Normal QQ plot for SET
t(4)
t(4) QQ plot for SET
t(3.5)
t(3.5) QQ plot for SET
t(3)
t(3) QQ plot for SET

Extreme event analysis

Waiting time and probability of a large drop
Drop given year
Extreme event analysis drop given year chart for SET
Probability of event
Extreme event analysis probability of event chart for SET