Value-at-RiskVaR
1.83£
↓
0.075%
from yesterday
Expected ShortfallES
2.44£
↓
0.092%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.188%
from yesterday
Years Until 25% Drop25% Freq.
22years
↑
0.871%
from yesterday
Model RiskModel Risk
1.31
↑
0.106%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.06 | 1.71 | 1.81 | 1.58 | 1.77 | 2.06 | 1.83 | 1.31 |
| ES | 3.14 | 1.96 | 2.07 | 1.81 | 2.27 | 3.43 | 2.45 | 1.9 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
