Value-at-RiskVaR
0.97
↑
0.002%
from yesterday
Expected ShortfallES
1.2
↑
0.002%
from yesterday
25% Drop Probability25% Drop
1.8%
↑
0.002%
from yesterday
Years Until 25% Drop25% Freq.
54.5years
↓
0.06%
from yesterday
Model RiskModel Risk
1.79
↓
0.132%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.25 | 1.07 | 0.7 | 0.73 | 0.81 | 1.25 | 0.97 | 1.79 |
| ES | 1.65 | 1.22 | 0.8 | 0.83 | 1 | 1.68 | 1.2 | 2.1 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
