Value-at-RiskVaR
0.71
↓
0.004%
from yesterday
Expected ShortfallES
0.87
↓
0.005%
from yesterday
25% Drop Probability25% Drop
1.4%
↓
0.01%
from yesterday
Years Until 25% Drop25% Freq.
73.7years
↑
0.54%
from yesterday
Model RiskModel Risk
1.87
↑
0.051%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.94 | 0.74 | 0.5 | 0.55 | 0.62 | 0.89 | 0.71 | 1.87 |
| ES | 1.18 | 0.85 | 0.57 | 0.63 | 0.8 | 1.2 | 0.87 | 2.09 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
