Value-at-RiskVaR
2.67
↓
0.091%
from yesterday
Expected ShortfallES
3.38
↓
0.1%
from yesterday
25% Drop Probability25% Drop
6.2%
↓
0.122%
from yesterday
Years Until 25% Drop25% Freq.
16years
↑
0.308%
from yesterday
Model RiskModel Risk
1.93
↓
0.038%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 1.97 | 3.79 | 2.48 | 2.7 | 2.45 | 2.67 | 1.93 |
| ES | 3.4 | 2.25 | 4.34 | 2.84 | 3.59 | 3.89 | 3.38 | 1.93 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
