Value-at-RiskVaR
2.36
↓
0.031%
from yesterday
Expected ShortfallES
3.01
↓
0.037%
from yesterday
25% Drop Probability25% Drop
5.5%
↓
0.071%
from yesterday
Years Until 25% Drop25% Freq.
18.1years
↑
0.229%
from yesterday
Model RiskModel Risk
1.5
↓
0.053%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.64 | 1.96 | 2.95 | 1.99 | 2.18 | 2.45 | 2.36 | 1.5 |
| ES | 3.4 | 2.25 | 3.38 | 2.28 | 2.88 | 3.89 | 3.01 | 1.73 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
