Value-at-RiskVaR
3.16
↓
0.146%
from yesterday
Expected ShortfallES
4.05
↓
0.178%
from yesterday
25% Drop Probability25% Drop
7.6%
↓
0.351%
from yesterday
Years Until 25% Drop25% Freq.
13.1years
↑
0.575%
from yesterday
Model RiskModel Risk
2.4
↓
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.68 | 2.03 | 4.88 | 3.26 | 3.51 | 2.61 | 3.16 | 2.4 |
| ES | 3.72 | 2.33 | 5.59 | 3.73 | 4.66 | 4.3 | 4.06 | 2.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
