Value-at-RiskVaR
2.69¥
↑
0.003%
from yesterday
Expected ShortfallES
3.64¥
↑
0.004%
from yesterday
25% Drop Probability25% Drop
6.4%
↑
0.005%
from yesterday
Years Until 25% Drop25% Freq.
15.7years
↓
0.012%
from yesterday
Model RiskModel Risk
1.46
↓
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.13 | 2.84 | 2.36 | 2.2 | 2.4 | 3.22 | 2.69 | 1.46 |
| ES | 5.17 | 3.25 | 2.7 | 2.53 | 2.98 | 5.2 | 3.64 | 2.06 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
