Value-at-RiskVaR
2.66R$
↑
0.043%
from yesterday
Expected ShortfallES
3.13R$
↑
0.05%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.086%
from yesterday
Years Until 25% Drop25% Freq.
21.5years
↓
0.405%
from yesterday
Model RiskModel Risk
1.19
↑
0.045%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.77 | 2.49 | 2.43 | 2.7 | 2.89 | 2.69 | 2.66 | 1.19 |
| ES | 3.23 | 2.86 | 2.78 | 3.09 | 3.51 | 3.32 | 3.13 | 1.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
