Value-at-RiskVaR
3.32
↓
0.073%
from yesterday
Expected ShortfallES
4.22
↓
0.089%
from yesterday
25% Drop Probability25% Drop
8.1%
↓
0.17%
from yesterday
Years Until 25% Drop25% Freq.
12.3years
↑
0.253%
from yesterday
Model RiskModel Risk
1.44
↓
0.083%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.62 | 2.54 | 3.66 | 3.33 | 3.58 | 3.2 | 3.32 | 1.44 |
| ES | 4.4 | 2.91 | 4.19 | 3.81 | 4.53 | 5.47 | 4.22 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
