Value-at-RiskVaR
2.77R$
↓
0.002%
from yesterday
Expected ShortfallES
3.24R$
↓
0.002%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.003%
from yesterday
Years Until 25% Drop25% Freq.
20.9years
↑
0.013%
from yesterday
Model RiskModel Risk
1.19
↑
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.49 | 2.97 | 2.78 | 2.9 | 2.68 | 2.77 | 1.19 |
| ES | 3.19 | 2.85 | 3.4 | 3.18 | 3.51 | 3.28 | 3.24 | 1.23 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
