Value-at-RiskVaR
0.69
↓
0.006%
from yesterday
Expected ShortfallES
0.85
↓
0.008%
from yesterday
25% Drop Probability25% Drop
1.3%
↓
0.014%
from yesterday
Years Until 25% Drop25% Freq.
76.3years
↑
0.807%
from yesterday
Model RiskModel Risk
1.96
↑
0.056%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.94 | 0.74 | 0.48 | 0.52 | 0.56 | 0.89 | 0.69 | 1.96 |
| ES | 1.18 | 0.85 | 0.55 | 0.59 | 0.72 | 1.2 | 0.85 | 2.19 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
