Value-at-RiskVaR
2.91
↓
0.063%
from yesterday
Expected ShortfallES
3.74
↓
0.076%
from yesterday
25% Drop Probability25% Drop
6.9%
↓
0.145%
from yesterday
Years Until 25% Drop25% Freq.
14.5years
↑
0.3%
from yesterday
Model RiskModel Risk
1.29
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.27 | 2.53 | 3.12 | 2.59 | 2.83 | 3.1 | 2.91 | 1.29 |
| ES | 4.36 | 2.9 | 3.58 | 2.97 | 3.59 | 5.04 | 3.74 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
