Value-at-RiskVaR
2.55¥
↑
0.368%
from yesterday
Expected ShortfallES
3.35¥
↑
0.434%
from yesterday
25% Drop Probability25% Drop
5.8%
↑
0.744%
from yesterday
Years Until 25% Drop25% Freq.
17.3years
↓
2.562%
from yesterday
Model RiskModel Risk
2.44
↑
0.2%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.62 | 2.35 | 1.32 | 2.96 | 3.24 | 2.79 | 2.55 | 2.44 |
| ES | 4.12 | 2.69 | 1.52 | 3.4 | 4.37 | 3.98 | 3.35 | 2.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
