Value-at-RiskVaR
4.29¥
↑
0.05%
from yesterday
Expected ShortfallES
5.57¥
↑
0.062%
from yesterday
25% Drop Probability25% Drop
9.9%
↑
0.12%
from yesterday
Years Until 25% Drop25% Freq.
10.1years
↓
0.124%
from yesterday
Model RiskModel Risk
1.59
↑
0.014%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.54 | 3.29 | 5.08 | 4.93 | 5.22 | 3.64 | 4.29 | 1.59 |
| ES | 5.73 | 3.77 | 5.82 | 5.65 | 6.62 | 5.83 | 5.57 | 1.76 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
