Value-at-RiskVaR
1.03
↑
0.013%
from yesterday
Expected ShortfallES
1.25
↑
0.017%
from yesterday
25% Drop Probability25% Drop
2.1%
↑
0.037%
from yesterday
Years Until 25% Drop25% Freq.
47.3years
↓
0.844%
from yesterday
Model RiskModel Risk
1.22
↓
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.13 | 0.94 | 0.95 | 0.92 | 1.11 | 1.1 | 1.03 | 1.22 |
| ES | 1.31 | 1.07 | 1.09 | 1.06 | 1.58 | 1.38 | 1.25 | 1.5 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
