Value-at-RiskVaR
4.44
→
0%
from yesterday
Expected ShortfallES
5.65
↓
0.023%
from yesterday
25% Drop Probability25% Drop
11%
↓
0.165%
from yesterday
Years Until 25% Drop25% Freq.
9.1years
↑
0.134%
from yesterday
Model RiskModel Risk
3.47
↓
0.338%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.68 | 2.02 | 5.91 | 6.46 | 7 | 2.59 | 4.44 | 3.47 |
| ES | 3.72 | 2.31 | 6.77 | 7.4 | 9.31 | 4.4 | 5.65 | 4.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
