One day market risk for S&P 500 (United States) on 2026-03-06

← SHCOMP

SP500

S&P 500 (United States)

SPTSX →

Value-at-RiskVaR

2.49$

↑ 0.057%

from yesterday

Expected ShortfallES

3.11$

↑ 0.069%

from yesterday

25% Drop Probability25% Drop

5.2%

↑ 0.13%

from yesterday

Years Until 25% Drop25% Freq.

19.3years

↓ 0.496%

from yesterday

Model RiskModel Risk

1.94

↑ 0.021%

from yesterday

Risk Forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	Mean	ModelRisk
VaR	3.31	2.54	1.7	2.03	2.19	3.14	2.49	1.94
ES	4.12	2.91	1.95	2.33	2.75	4.58	3.11	2.35

Returns Time Series

Returns chart for SP500

Returns Distribution

Density chart for SP500

Value at Risk (VaR)

VaR chart for SP500

Expected Shortfall (ES)

ES chart for SP500

Autocorrelation Function

ACF chart for SP500

QQ Plots

QQ plots for SP500

Extreme Event Analysis

Extreme events chart for SP500