Value-at-RiskVaR
1.76£
↓
0.028%
from yesterday
Expected ShortfallES
2.37£
↓
0.033%
from yesterday
25% Drop Probability25% Drop
4.4%
↓
0.057%
from yesterday
Years Until 25% Drop25% Freq.
22.5years
↑
0.285%
from yesterday
Model RiskModel Risk
1.58
↑
0.069%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.06 | 1.73 | 1.87 | 1.32 | 1.51 | 2.09 | 1.76 | 1.58 |
| ES | 3.14 | 1.98 | 2.14 | 1.52 | 1.95 | 3.49 | 2.37 | 2.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
