Value-at-RiskVaR
0.75
↓
0.004%
from yesterday
Expected ShortfallES
0.92
↓
0.006%
from yesterday
25% Drop Probability25% Drop
1.5%
↓
0.01%
from yesterday
Years Until 25% Drop25% Freq.
67.6years
↑
0.454%
from yesterday
Model RiskModel Risk
1.67
↑
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.95 | 0.77 | 0.57 | 0.6 | 0.68 | 0.91 | 0.74 | 1.67 |
| ES | 1.21 | 0.88 | 0.65 | 0.68 | 0.86 | 1.26 | 0.92 | 1.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
