Value-at-RiskVaR
2.17£
↓
0.149%
from yesterday
Expected ShortfallES
2.86£
↓
0.18%
from yesterday
25% Drop Probability25% Drop
5.4%
↓
0.345%
from yesterday
Years Until 25% Drop25% Freq.
18.4years
↑
1.1%
from yesterday
Model RiskModel Risk
1.45
↓
0.08%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.2 | 1.75 | 2.55 | 2.04 | 2.31 | 2.18 | 2.17 | 1.45 |
| ES | 3.25 | 2.01 | 2.92 | 2.34 | 2.98 | 3.69 | 2.86 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
