Value-at-RiskVaR
4.57
↑
0.046%
from yesterday
Expected ShortfallES
5.82
↓
0.011%
from yesterday
25% Drop Probability25% Drop
10.3%
↓
0.462%
from yesterday
Years Until 25% Drop25% Freq.
9.7years
↑
0.414%
from yesterday
Model RiskModel Risk
2.41
↓
0.101%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3 | 2.72 | 5.71 | 6.14 | 6.58 | 3.29 | 4.57 | 2.41 |
| ES | 4.71 | 3.12 | 6.54 | 7.04 | 8.78 | 4.71 | 5.82 | 2.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
