Value-at-RiskVaR
2.82
↓
0.05%
from yesterday
Expected ShortfallES
3.64
↓
0.06%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.111%
from yesterday
Years Until 25% Drop25% Freq.
14.7years
↑
0.237%
from yesterday
Model RiskModel Risk
1.25
↑
0.001%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.1 | 2.48 | 2.89 | 2.67 | 2.89 | 2.88 | 2.82 | 1.25 |
| ES | 4.19 | 2.85 | 3.31 | 3.06 | 3.66 | 4.79 | 3.64 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
