Normal vs historical VaR comparison
Does assuming a normal distribution underestimate the tail?
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サンプルJSON
仕様JSON
サンプル基準日
0700.HK Tencent Holdings | Hang Seng Index | 2025-10-16 – 2026-10-16 | HKD
- Latest value
- -2.16 percentage points
- Period average
- -0.49 percentage points
- Period high
- 14.17 percentage points
- Period low
- -14.82 percentage points
Normal vs historical VaR comparison
VaR difference (percentage points) (折れ線)
Valid sample size (observations)
Valid sample size (observations) (棒)
Event detail and data date
VaR difference (percentage points) and Valid sample size (observations) (表)
サンプルデータ行
| Trading day/observation period | VaR difference (percentage points) | Valid sample size (observations) | Data date (sample) |
|---|---|---|---|
| 2025-10-16 | -3.56 | 15 | 2025-10-16 |
| 2025-11-03 | 2.42 | 14 | 2025-11-03 |
| 2025-11-17 | -1.52 | 56 | 2025-11-17 |
| 2025-12-03 | -2.08 | 7 | 2025-12-03 |
| 2025-12-19 | 4.2 | 125 | 2025-12-19 |
| 2026-01-02 | -3.68 | 33 | 2026-01-02 |
| 2026-01-20 | 10.98 | 5 | 2026-01-20 |
| 2026-02-05 | 13.66 | 61 | 2026-02-05 |
| 2026-02-23 | 5.8 | 31 | 2026-02-23 |
| 2026-03-09 | -3.6 | 69 | 2026-03-09 |
| 2026-03-25 | 4.74 | 73 | 2026-03-25 |
| 2026-04-10 | 3.17 | 50 | 2026-04-10 |
| 2026-04-24 | -3.27 | 50 | 2026-04-24 |
| 2026-05-12 | 0.09 | 84 | 2026-05-12 |
| 2026-05-28 | -3.14 | 67 | 2026-05-28 |
| 2026-06-11 | -4.39 | 14 | 2026-06-11 |
| 2026-06-29 | 11.11 | 33 | 2026-06-29 |
| 2026-07-15 | -0.53 | 24 | 2026-07-15 |
| 2026-07-31 | -3.44 | 38 | 2026-07-31 |
| 2026-08-14 | -5.8 | 48 | 2026-08-14 |
| 2026-09-01 | 3.8 | 61 | 2026-09-01 |
| 2026-09-17 | 8.58 | 40 | 2026-09-17 |
| 2026-10-01 | -2.38 | 25 | 2026-10-01 |
| 2026-10-16 | -2.16 | 15 | 2026-10-16 |