Value-at-RiskVaR
0.65
↓
0.006%
from yesterday
Expected ShortfallES
0.8
↓
0.007%
from yesterday
25% Drop Probability25% Drop
1.2%
↓
0.01%
from yesterday
Years Until 25% Drop25% Freq.
80.8years
↑
0.647%
from yesterday
Model RiskModel Risk
1.89
↑
0.052%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.87 | 0.67 | 0.46 | 0.51 | 0.57 | 0.83 | 0.65 | 1.89 |
| ES | 1.06 | 0.77 | 0.53 | 0.58 | 0.74 | 1.09 | 0.8 | 2.07 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
