Value-at-RiskVaR
3.1
↑
0.023%
from yesterday
Expected ShortfallES
4.02
↑
0.027%
from yesterday
25% Drop Probability25% Drop
6.8%
↑
0.047%
from yesterday
Years Until 25% Drop25% Freq.
14.7years
↓
0.102%
from yesterday
Model RiskModel Risk
1.46
↓
0.151%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3 | 2.72 | 3.88 | 2.66 | 3.05 | 3.29 | 3.1 | 1.46 |
| ES | 4.71 | 3.12 | 4.45 | 3.04 | 4.08 | 4.71 | 4.02 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
