Value-at-RiskVaR
1.86£
↓
0.061%
from yesterday
Expected ShortfallES
2.45£
↓
0.079%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.051%
from yesterday
Years Until 25% Drop25% Freq.
22.5years
↑
0.255%
from yesterday
Model RiskModel Risk
1.44
↓
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.15 | 1.75 | 1.51 | 1.68 | 1.88 | 2.17 | 1.85 | 1.44 |
| ES | 3.18 | 2.01 | 1.72 | 1.92 | 2.45 | 3.44 | 2.45 | 1.99 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
