Value-at-RiskVaR
0.72
↓
0.006%
from yesterday
Expected ShortfallES
0.89
↓
0.007%
from yesterday
25% Drop Probability25% Drop
1.4%
↓
0.013%
from yesterday
Years Until 25% Drop25% Freq.
72.5years
↑
0.677%
from yesterday
Model RiskModel Risk
1.72
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.94 | 0.75 | 0.54 | 0.57 | 0.63 | 0.89 | 0.72 | 1.72 |
| ES | 1.18 | 0.86 | 0.62 | 0.65 | 0.8 | 1.2 | 0.89 | 1.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
