Value-at-RiskVaR
3.49¥
↓
0.122%
from yesterday
Expected ShortfallES
4.6¥
↓
0.146%
from yesterday
25% Drop Probability25% Drop
7.8%
↓
0.269%
from yesterday
Years Until 25% Drop25% Freq.
12.8years
↑
0.427%
from yesterday
Model RiskModel Risk
1.21
↓
0.091%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.16 | 3.23 | 3.82 | 3.46 | 3.83 | 3.42 | 3.49 | 1.21 |
| ES | 5.45 | 3.71 | 4.38 | 3.97 | 4.84 | 5.22 | 4.59 | 1.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
