Value-at-RiskVaR
0.69
↓
0.005%
from yesterday
Expected ShortfallES
0.86
↓
0.006%
from yesterday
25% Drop Probability25% Drop
1.4%
↓
0.012%
from yesterday
Years Until 25% Drop25% Freq.
72.7years
↑
0.628%
from yesterday
Model RiskModel Risk
2.1
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.95 | 0.77 | 0.45 | 0.5 | 0.55 | 0.92 | 0.69 | 2.1 |
| ES | 1.21 | 0.89 | 0.52 | 0.58 | 0.7 | 1.28 | 0.86 | 2.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
