Value-at-RiskVaR
2.73R$
↑
0.021%
from yesterday
Expected ShortfallES
3.22R$
↑
0.024%
from yesterday
25% Drop Probability25% Drop
4.8%
↑
0.041%
from yesterday
Years Until 25% Drop25% Freq.
20.8years
↓
0.179%
from yesterday
Model RiskModel Risk
1.2
↑
0.031%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.5 | 2.59 | 2.81 | 3.01 | 2.71 | 2.73 | 1.2 |
| ES | 3.23 | 2.87 | 2.97 | 3.22 | 3.65 | 3.36 | 3.22 | 1.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
