Value-at-RiskVaR
0.98
↓
0.006%
from yesterday
Expected ShortfallES
1.2
↓
0.008%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.02%
from yesterday
Years Until 25% Drop25% Freq.
49.2years
↑
0.48%
from yesterday
Model RiskModel Risk
1.22
↑
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.08 | 0.92 | 0.9 | 0.88 | 1.05 | 1.04 | 0.98 | 1.22 |
| ES | 1.25 | 1.06 | 1.03 | 1.01 | 1.48 | 1.34 | 1.2 | 1.46 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
