SP500

S&P 500

10 July 2025

Returns

Returns chart for SP500 showing historical price movements

Data density with normal and t(3)

Data density chart for SP500 with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for SP500 showing risk forecasts

Expected Shortfall

Expected Shortfall chart for SP500 showing tail risk measures

Risk forecasts

Type	HS	MA	EWMA	GARCH	tGARCH	EVT	ModelRisk	Mean
VaR	3.3	2.6	1.6	1.7	1.8	3.2	2.0	2.4
ES	4.1	3.0	1.9	1.9	2.2	4.6	2.4	3.0

Price drop given year

Price drop given year chart for SP500 showing historical decline patterns

Probability of price drop

Probability of price drop chart for SP500 showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for SP500

Quantile-Quantile plots

Quantile-Quantile QQ plots for SP500 across various tail thicknesses.

Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson