← SET
SHCOMP
SHCOMP (China)
SP500 →
Value-at-RiskVaR
2.39¥
↑ 0.011%
from yesterday
Expected ShortfallES
3.13¥
↑ 0.011%
from yesterday
25% Drop Probability25% Drop
5.3%
↑ 0.009%
from yesterday
Years Until 25% Drop25% Freq.
19years
↓ 0.032%
from yesterday
Model RiskModel Risk
1.45
↓ 0.068%
from yesterday
Risk Forecasts
Type HS MA EWMA GARCH tGARCH EVT Mean ModelRisk
VaR 2.62 2.35 1.93 2.19 2.44 2.79 2.39 1.45
ES 4.12 2.69 2.21 2.51 3.29 3.98 3.13 1.87
Returns Time Series
Returns chart for SHCOMP
Returns Distribution
Density chart for SHCOMP
Value at Risk (VaR)
VaR chart for SHCOMP
Expected Shortfall (ES)
ES chart for SHCOMP
Autocorrelation Function
ACF chart for SHCOMP
QQ Plots
QQ plots for SHCOMP
Extreme Event Analysis
Extreme events chart for SHCOMP
Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson