Value-at-RiskVaR
1.05
↑
0.026%
from yesterday
Expected ShortfallES
1.32
↑
0.031%
from yesterday
25% Drop Probability25% Drop
2.2%
↑
0.057%
from yesterday
Years Until 25% Drop25% Freq.
45.8years
↓
1.227%
from yesterday
Model RiskModel Risk
1.52
↑
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.25 | 1.05 | 0.83 | 0.95 | 1.02 | 1.21 | 1.05 | 1.52 |
| ES | 1.65 | 1.2 | 0.95 | 1.09 | 1.26 | 1.77 | 1.32 | 1.87 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
