Value-at-RiskVaR
1.06
↓
0.012%
from yesterday
Expected ShortfallES
1.29
↓
0.014%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.023%
from yesterday
Years Until 25% Drop25% Freq.
51years
↑
0.592%
from yesterday
Model RiskModel Risk
1.62
↑
0.05%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.36 | 1.1 | 0.84 | 0.85 | 0.92 | 1.3 | 1.06 | 1.62 |
| ES | 1.69 | 1.26 | 0.96 | 0.97 | 1.14 | 1.73 | 1.29 | 1.8 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
