Value-at-RiskVaR
2.44£
↑
0.201%
from yesterday
Expected ShortfallES
3.11£
↑
0.245%
from yesterday
25% Drop Probability25% Drop
5.5%
↑
0.469%
from yesterday
Years Until 25% Drop25% Freq.
18.1years
↓
1.68%
from yesterday
Model RiskModel Risk
1.66
↑
0.195%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 1.78 | 2.53 | 2.79 | 2.94 | 2.27 | 2.44 | 1.66 |
| ES | 3.26 | 2.03 | 2.89 | 3.19 | 3.79 | 3.49 | 3.11 | 1.86 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
