Value-at-RiskVaR
2.64R$
↓
0.002%
from yesterday
Expected ShortfallES
3.09R$
↓
0.003%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.004%
from yesterday
Years Until 25% Drop25% Freq.
22.1years
↑
0.019%
from yesterday
Model RiskModel Risk
1.13
↓
0.019%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.47 | 2.74 | 2.56 | 2.61 | 2.68 | 2.64 | 1.13 |
| ES | 3.19 | 2.83 | 3.14 | 2.93 | 3.16 | 3.28 | 3.09 | 1.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
