Value-at-RiskVaR
0.65
↓
0.006%
from yesterday
Expected ShortfallES
0.8
↓
0.008%
from yesterday
25% Drop Probability25% Drop
1.2%
↓
0.022%
from yesterday
Years Until 25% Drop25% Freq.
81.6years
↑
1.438%
from yesterday
Model RiskModel Risk
2.56
↑
0.088%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.94 | 0.73 | 0.37 | 0.45 | 0.51 | 0.89 | 0.65 | 2.56 |
| ES | 1.18 | 0.83 | 0.42 | 0.52 | 0.66 | 1.19 | 0.8 | 2.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
