Value-at-RiskVaR
2.98R$
↑
0.03%
from yesterday
Expected ShortfallES
3.48R$
↑
0.034%
from yesterday
25% Drop Probability25% Drop
5.2%
↑
0.056%
from yesterday
Years Until 25% Drop25% Freq.
19.2years
↓
0.208%
from yesterday
Model RiskModel Risk
1.37
↑
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.85 | 2.5 | 3.43 | 3.1 | 3.24 | 2.74 | 2.98 | 1.37 |
| ES | 3.25 | 2.86 | 3.93 | 3.55 | 3.93 | 3.37 | 3.48 | 1.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
