Value-at-RiskVaR
2.14฿
↓
0.043%
from yesterday
Expected ShortfallES
2.58฿
↓
0.05%
from yesterday
25% Drop Probability25% Drop
3.8%
↓
0.085%
from yesterday
Years Until 25% Drop25% Freq.
26.1years
↑
0.565%
from yesterday
Model RiskModel Risk
1.17
↓
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.2 | 1.95 | 2.23 | 2.02 | 2.2 | 2.28 | 2.14 | 1.17 |
| ES | 2.82 | 2.23 | 2.55 | 2.31 | 2.73 | 2.81 | 2.58 | 1.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
