Value-at-RiskVaR
0.98
↓
0.006%
from yesterday
Expected ShortfallES
1.21
↓
0.007%
from yesterday
25% Drop Probability25% Drop
1.9%
↓
0.012%
from yesterday
Years Until 25% Drop25% Freq.
53.1years
↑
0.337%
from yesterday
Model RiskModel Risk
2
↓
0.009%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.36 | 1.08 | 0.68 | 0.71 | 0.8 | 1.27 | 0.98 | 2 |
| ES | 1.69 | 1.23 | 0.78 | 0.82 | 0.99 | 1.75 | 1.21 | 2.25 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
