Value-at-RiskVaR
0.95
↓
0.008%
from yesterday
Expected ShortfallES
1.2
↓
0.009%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.016%
from yesterday
Years Until 25% Drop25% Freq.
50.8years
↑
0.41%
from yesterday
Model RiskModel Risk
1.86
↑
0.054%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.25 | 1.06 | 0.67 | 0.72 | 0.81 | 1.22 | 0.95 | 1.86 |
| ES | 1.65 | 1.21 | 0.77 | 0.83 | 1 | 1.77 | 1.2 | 2.29 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
