Value-at-RiskVaR
1.14
↓
0.012%
from yesterday
Expected ShortfallES
1.38
↓
0.015%
from yesterday
25% Drop Probability25% Drop
2.1%
↓
0.028%
from yesterday
Years Until 25% Drop25% Freq.
46.6years
↑
0.6%
from yesterday
Model RiskModel Risk
1.38
↑
0.027%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.34 | 1.12 | 0.99 | 0.97 | 1.07 | 1.33 | 1.14 | 1.38 |
| ES | 1.66 | 1.28 | 1.13 | 1.11 | 1.38 | 1.72 | 1.38 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
