Value-at-RiskVaR
0.74
→
0%
from yesterday
Expected ShortfallES
0.92
→
0%
from yesterday
25% Drop Probability25% Drop
1.5%
↓
0.003%
from yesterday
Years Until 25% Drop25% Freq.
68.8years
↑
0.142%
from yesterday
Model RiskModel Risk
1.82
↓
0.071%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.96 | 0.79 | 0.53 | 0.56 | 0.63 | 0.96 | 0.74 | 1.82 |
| ES | 1.25 | 0.9 | 0.61 | 0.64 | 0.8 | 1.32 | 0.92 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
