Value-at-RiskVaR
2.99
↓
0.039%
from yesterday
Expected ShortfallES
3.84
↓
0.046%
from yesterday
25% Drop Probability25% Drop
7.1%
↓
0.087%
from yesterday
Years Until 25% Drop25% Freq.
14.1years
↑
0.172%
from yesterday
Model RiskModel Risk
1.38
↓
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.27 | 2.53 | 3.47 | 2.66 | 2.94 | 3.1 | 3 | 1.38 |
| ES | 4.36 | 2.89 | 3.98 | 3.04 | 3.74 | 5.04 | 3.84 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
