Value-at-RiskVaR
1.86£
↓
0.03%
from yesterday
Expected ShortfallES
2.47£
↓
0.038%
from yesterday
25% Drop Probability25% Drop
4.7%
↓
0.082%
from yesterday
Years Until 25% Drop25% Freq.
21.2years
↑
0.361%
from yesterday
Model RiskModel Risk
2.03
↓
0.057%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.61 | 1.85 | 1.28 | 1.4 | 1.59 | 2.42 | 1.86 | 2.03 |
| ES | 3.53 | 2.12 | 1.47 | 1.61 | 2.1 | 4.01 | 2.47 | 2.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
