Value-at-RiskVaR
2.77R$
↓
0.017%
from yesterday
Expected ShortfallES
3.25R$
↓
0.019%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.032%
from yesterday
Years Until 25% Drop25% Freq.
20.7years
↑
0.137%
from yesterday
Model RiskModel Risk
1.24
↓
0.017%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.47 | 3.07 | 2.77 | 2.87 | 2.68 | 2.77 | 1.24 |
| ES | 3.19 | 2.83 | 3.51 | 3.17 | 3.48 | 3.28 | 3.25 | 1.24 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
