Value-at-RiskVaR
1.84£
↓
0.032%
from yesterday
Expected ShortfallES
2.42£
↓
0.04%
from yesterday
25% Drop Probability25% Drop
4.5%
↓
0.083%
from yesterday
Years Until 25% Drop25% Freq.
22.4years
↑
0.409%
from yesterday
Model RiskModel Risk
2.02
↑
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.6 | 1.83 | 1.29 | 1.37 | 1.55 | 2.39 | 1.84 | 2.02 |
| ES | 3.52 | 2.1 | 1.48 | 1.57 | 2.04 | 3.84 | 2.42 | 2.6 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
