Value-at-RiskVaR
2.98R$
↑
0.025%
from yesterday
Expected ShortfallES
3.49R$
↑
0.028%
from yesterday
25% Drop Probability25% Drop
5.2%
↑
0.043%
from yesterday
Years Until 25% Drop25% Freq.
19.1years
↓
0.158%
from yesterday
Model RiskModel Risk
1.33
↑
0.003%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.85 | 2.51 | 3.3 | 3.15 | 3.33 | 2.74 | 2.98 | 1.33 |
| ES | 3.25 | 2.88 | 3.78 | 3.61 | 4.05 | 3.37 | 3.49 | 1.41 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
