Value-at-RiskVaR
1.86£
↓
0.045%
from yesterday
Expected ShortfallES
2.47£
↓
0.054%
from yesterday
25% Drop Probability25% Drop
4.6%
↓
0.101%
from yesterday
Years Until 25% Drop25% Freq.
21.7years
↑
0.465%
from yesterday
Model RiskModel Risk
1.59
↑
0.146%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.2 | 1.74 | 2.09 | 1.38 | 1.58 | 2.16 | 1.86 | 1.59 |
| ES | 3.25 | 2 | 2.39 | 1.58 | 2.04 | 3.59 | 2.47 | 2.27 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
