Value-at-RiskVaR
0.6
— no change
Expected ShortfallES
0.76
— no change
25% Drop Probability25% drop
prob.
prob.
1.2%
— no change
Years Until 25% Dropyears to
−25%
−25%
84years
— no change
Model Riskmodel
risk
risk
1.87
↑ 0.055%
from yesterday
Risk forecasts
VaR & Expected Shortfall, by method| Measure | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| Value-at-Risk | 0.72 | 0.71 | 0.4 | 0.51 | 0.54 | 0.75 | 0.6 | 1.87 |
| Expected Shortfall | 1 | 0.81 | 0.46 | 0.59 | 0.69 | 1.01 | 0.76 | 2.2 |
Returns
Daily log returns
Value-at-Risk over time
Each method’s VaR forecast
Expected Shortfall over time
Each method’s ES forecast
Returns distribution
Empirical density vs fitted models
Autocorrelation
Returns and returns squaredReturns
Returns squared
QQ plots
Tail behaviour against reference distributionsNormal
t(4)
t(3.5)
t(3)
Extreme event analysis
Waiting time and probability of a large dropDrop given year
Probability of event
