Value-at-RiskVaR
0.62
↓
0.009%
from yesterday
Expected ShortfallES
0.77
↓
0.011%
from yesterday
25% Drop Probability25% Drop
1.2%
↓
0.018%
from yesterday
Years Until 25% Drop25% Freq.
82.5years
↑
1.207%
from yesterday
Model RiskModel Risk
1.73
↑
0.084%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.72 | 0.71 | 0.43 | 0.53 | 0.55 | 0.75 | 0.61 | 1.73 |
| ES | 1 | 0.82 | 0.5 | 0.61 | 0.71 | 1.01 | 0.77 | 2.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
