Value-at-RiskVaR
1.01
↓
0.005%
from yesterday
Expected ShortfallES
1.27
↓
0.006%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.011%
from yesterday
Years Until 25% Drop25% Freq.
45.7years
↑
0.228%
from yesterday
Model RiskModel Risk
1.41
↑
0.016%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.21 | 1.03 | 0.86 | 0.87 | 0.94 | 1.15 | 1.01 | 1.41 |
| ES | 1.58 | 1.18 | 0.99 | 0.99 | 1.15 | 1.75 | 1.27 | 1.78 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
