Value-at-RiskVaR
0.73
↓
0.004%
from yesterday
Expected ShortfallES
0.92
↓
0.005%
from yesterday
25% Drop Probability25% Drop
1.5%
↓
0.008%
from yesterday
Years Until 25% Drop25% Freq.
66.8years
↑
0.355%
from yesterday
Model RiskModel Risk
1.86
↑
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.96 | 0.78 | 0.52 | 0.55 | 0.63 | 0.94 | 0.73 | 1.86 |
| ES | 1.24 | 0.89 | 0.59 | 0.63 | 0.8 | 1.33 | 0.92 | 2.26 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
