Value-at-RiskVaR
0.71
↑
0.014%
from yesterday
Expected ShortfallES
0.86
↑
0.016%
from yesterday
25% Drop Probability25% Drop
1.3%
↑
0.028%
from yesterday
Years Until 25% Drop25% Freq.
76.4years
↓
1.67%
from yesterday
Model RiskModel Risk
1.58
↓
0.31%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.87 | 0.69 | 0.55 | 0.59 | 0.71 | 0.85 | 0.71 | 1.58 |
| ES | 1.06 | 0.79 | 0.63 | 0.67 | 0.92 | 1.07 | 0.86 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
