S&P 500, 28 April, 2025
SPTSX
Returns
Data density with normal and t(3)
Value-at-Risk
Expexted Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.3 | 2.6 | 5.9 | 5.3 | 5.8 | 3.2 | 2.3 | 4.3 |
| ES | 4.1 | 3.0 | 6.8 | 6.0 | 7.1 | 4.6 | 2.4 | 5.3 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme risk
Daily market risk forecasts and analysis© All rights reserved, Jon Danielsson,