Value-at-RiskVaR
0.71
↓
0.012%
from yesterday
Expected ShortfallES
0.9
↓
0.013%
from yesterday
25% Drop Probability25% Drop
1.5%
↓
0.023%
from yesterday
Years Until 25% Drop25% Freq.
67years
↑
1.016%
from yesterday
Model RiskModel Risk
1.26
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.76 | 0.73 | 0.63 | 0.63 | 0.71 | 0.79 | 0.71 | 1.26 |
| ES | 1.06 | 0.84 | 0.72 | 0.72 | 0.92 | 1.12 | 0.9 | 1.56 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
