Value-at-RiskVaR
0.75
↓
0.01%
from yesterday
Expected ShortfallES
0.93
↓
0.012%
from yesterday
25% Drop Probability25% Drop
1.5%
↓
0.021%
from yesterday
Years Until 25% Drop25% Freq.
67.1years
↑
0.932%
from yesterday
Model RiskModel Risk
1.28
↑
0.035%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.78 | 0.64 | 0.68 | 0.74 | 0.83 | 0.75 | 1.28 |
| ES | 1.09 | 0.9 | 0.74 | 0.78 | 0.94 | 1.13 | 0.93 | 1.54 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
