Value-at-RiskVaR
2.09£
↑
0.089%
from yesterday
Expected ShortfallES
2.69£
↑
0.107%
from yesterday
25% Drop Probability25% Drop
4.8%
↑
0.2%
from yesterday
Years Until 25% Drop25% Freq.
21years
↓
0.924%
from yesterday
Model RiskModel Risk
1.32
↓
0.243%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.35 | 1.78 | 2.35 | 1.85 | 1.98 | 2.26 | 2.09 | 1.32 |
| ES | 3.26 | 2.03 | 2.69 | 2.12 | 2.55 | 3.51 | 2.69 | 1.72 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
