Value-at-RiskVaR
2.56R$
↓
0.022%
from yesterday
Expected ShortfallES
3R$
↓
0.025%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.042%
from yesterday
Years Until 25% Drop25% Freq.
22.8years
↑
0.216%
from yesterday
Model RiskModel Risk
1.16
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.47 | 2.56 | 2.4 | 2.48 | 2.68 | 2.56 | 1.16 |
| ES | 3.19 | 2.82 | 2.94 | 2.76 | 3.01 | 3.28 | 3 | 1.19 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
