Value-at-RiskVaR
3.32
↓
0.104%
from yesterday
Expected ShortfallES
4.28
↓
0.126%
from yesterday
25% Drop Probability25% Drop
7.3%
↓
0.241%
from yesterday
Years Until 25% Drop25% Freq.
13.7years
↑
0.44%
from yesterday
Model RiskModel Risk
1.92
↑
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3 | 2.72 | 4.94 | 2.57 | 3.39 | 3.29 | 3.32 | 1.92 |
| ES | 4.71 | 3.12 | 5.65 | 2.94 | 4.53 | 4.71 | 4.28 | 1.92 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
