Value-at-RiskVaR
3.03R$
↓
0.037%
from yesterday
Expected ShortfallES
3.54R$
↓
0.042%
from yesterday
25% Drop Probability25% Drop
5.3%
↓
0.067%
from yesterday
Years Until 25% Drop25% Freq.
18.8years
↑
0.233%
from yesterday
Model RiskModel Risk
1.4
↓
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.85 | 2.51 | 3.52 | 3.18 | 3.36 | 2.74 | 3.03 | 1.4 |
| ES | 3.25 | 2.88 | 4.03 | 3.65 | 4.08 | 3.37 | 3.54 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
