Value-at-RiskVaR
2.01£
↓
0.077%
from yesterday
Expected ShortfallES
2.61£
↓
0.094%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.182%
from yesterday
Years Until 25% Drop25% Freq.
22years
↑
0.85%
from yesterday
Model RiskModel Risk
1.38
↑
0.046%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.2 | 1.75 | 2.29 | 1.66 | 1.92 | 2.24 | 2.01 | 1.38 |
| ES | 3.25 | 2.01 | 2.62 | 1.9 | 2.47 | 3.42 | 2.61 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
