Value-at-RiskVaR
0.74
↓
0.013%
from yesterday
Expected ShortfallES
0.94
↓
0.016%
from yesterday
25% Drop Probability25% Drop
1.6%
↓
0.028%
from yesterday
Years Until 25% Drop25% Freq.
62.1years
↑
1.062%
from yesterday
Model RiskModel Risk
1.23
↑
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.74 | 0.67 | 0.68 | 0.75 | 0.81 | 0.74 | 1.23 |
| ES | 1.09 | 0.85 | 0.77 | 0.78 | 0.97 | 1.19 | 0.94 | 1.55 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
