Value-at-RiskVaR
3.35
↓
0.188%
from yesterday
Expected ShortfallES
4.31
↓
0.23%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.454%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.622%
from yesterday
Model RiskModel Risk
2.63
↓
0.015%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.68 | 1.96 | 5.16 | 3.32 | 4.39 | 2.59 | 3.35 | 2.63 |
| ES | 3.72 | 2.24 | 5.91 | 3.8 | 5.78 | 4.4 | 4.31 | 2.63 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
