Value-at-RiskVaR
2.8R$
↓
0.031%
from yesterday
Expected ShortfallES
3.27R$
↓
0.035%
from yesterday
25% Drop Probability25% Drop
4.9%
↓
0.061%
from yesterday
Years Until 25% Drop25% Freq.
20.6years
↑
0.255%
from yesterday
Model RiskModel Risk
1.26
↓
0.037%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.78 | 2.48 | 3.12 | 2.8 | 2.91 | 2.68 | 2.8 | 1.26 |
| ES | 3.19 | 2.84 | 3.58 | 3.21 | 3.53 | 3.28 | 3.27 | 1.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
