Value-at-RiskVaR
0.7
↓
0.004%
from yesterday
Expected ShortfallES
0.86
↓
0.005%
from yesterday
25% Drop Probability25% Drop
1.3%
↓
0.008%
from yesterday
Years Until 25% Drop25% Freq.
74.8years
↑
0.445%
from yesterday
Model RiskModel Risk
1.95
↑
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.94 | 0.74 | 0.48 | 0.54 | 0.6 | 0.89 | 0.7 | 1.95 |
| ES | 1.18 | 0.85 | 0.55 | 0.61 | 0.77 | 1.2 | 0.86 | 2.17 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
