Value-at-RiskVaR
0.63
↑
0.001%
from yesterday
Expected ShortfallES
0.79
↑
0.001%
from yesterday
25% Drop Probability25% Drop
1.2%
↑
0.003%
from yesterday
Years Until 25% Drop25% Freq.
81years
↓
0.197%
from yesterday
Model RiskModel Risk
1.62
↓
0.025%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.72 | 0.72 | 0.46 | 0.55 | 0.56 | 0.75 | 0.63 | 1.62 |
| ES | 1 | 0.82 | 0.53 | 0.63 | 0.72 | 1.01 | 0.78 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
