Value-at-RiskVaR
2.92
↓
0.019%
from yesterday
Expected ShortfallES
3.8
↓
0.024%
from yesterday
25% Drop Probability25% Drop
6.4%
↓
0.054%
from yesterday
Years Until 25% Drop25% Freq.
15.6years
↑
0.13%
from yesterday
Model RiskModel Risk
1.36
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3 | 2.71 | 3.26 | 2.41 | 2.83 | 3.29 | 2.92 | 1.36 |
| ES | 4.71 | 3.11 | 3.74 | 2.76 | 3.79 | 4.71 | 3.8 | 1.71 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
