Value-at-RiskVaR
1.09
↓
0.015%
from yesterday
Expected ShortfallES
1.38
↓
0.018%
from yesterday
25% Drop Probability25% Drop
2.4%
↓
0.029%
from yesterday
Years Until 25% Drop25% Freq.
41.2years
↑
0.485%
from yesterday
Model RiskModel Risk
1.27
↑
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.25 | 1.05 | 0.99 | 0.98 | 1.05 | 1.19 | 1.09 | 1.27 |
| ES | 1.65 | 1.2 | 1.14 | 1.13 | 1.3 | 1.86 | 1.38 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
