Value-at-RiskVaR
3.56
↓
0.176%
from yesterday
Expected ShortfallES
4.63
↓
0.214%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.413%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.568%
from yesterday
Model RiskModel Risk
1.76
↑
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3 | 2.68 | 4.72 | 3.55 | 4.17 | 3.24 | 3.56 | 1.76 |
| ES | 4.71 | 3.07 | 5.4 | 4.06 | 5.51 | 4.99 | 4.63 | 1.79 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
