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TA125

TA-125
14 August 2025
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Returns

Returns chart for TA125 showing historical price movements

Data density with normal and t(3)

Data density chart for TA125 with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for TA125 showing risk forecasts

Expected Shortfall

Expected Shortfall chart for TA125 showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 3.09999990 2.40000010 2.70000005 2.70000005 2.89999986 2.89999986 1.29999995 2.80000019
ES 3.90000010 2.80000019 3.09999990 3.09999990 3.50000000 4.00000000 1.39999998 3.40000010

Price drop given year

Price drop given year chart for TA125 showing historical decline patterns

Probability of price drop

Probability of price drop chart for TA125 showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for TA125

Quantile-Quantile plots

Quantile-Quantile QQ plots for TA125 across various tail thicknesses.
Extreme Risk. Daily Market Risk Forecasts

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

© Jon Danielsson