Value-at-RiskVaR
2.72R$
↓
0.008%
from yesterday
Expected ShortfallES
3.2R$
↓
0.009%
from yesterday
25% Drop Probability25% Drop
4.8%
↓
0.016%
from yesterday
Years Until 25% Drop25% Freq.
21years
↑
0.07%
from yesterday
Model RiskModel Risk
1.19
↑
0.009%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.77 | 2.49 | 2.66 | 2.76 | 2.97 | 2.69 | 2.72 | 1.19 |
| ES | 3.23 | 2.86 | 3.04 | 3.17 | 3.6 | 3.31 | 3.2 | 1.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
