Value-at-RiskVaR
1.82£
↑
0.023%
from yesterday
Expected ShortfallES
2.43£
↑
0.028%
from yesterday
25% Drop Probability25% Drop
4.6%
↑
0.055%
from yesterday
Years Until 25% Drop25% Freq.
21.5years
↓
0.258%
from yesterday
Model RiskModel Risk
2.23
↑
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.61 | 1.85 | 1.17 | 1.34 | 1.53 | 2.42 | 1.82 | 2.23 |
| ES | 3.53 | 2.12 | 1.34 | 1.53 | 2.03 | 4.01 | 2.43 | 2.99 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
