Value-at-RiskVaR
1.04
↓
0.012%
from yesterday
Expected ShortfallES
1.31
↓
0.014%
from yesterday
25% Drop Probability25% Drop
2.3%
↓
0.024%
from yesterday
Years Until 25% Drop25% Freq.
44.3years
↑
0.466%
from yesterday
Model RiskModel Risk
1.31
↑
0.036%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.21 | 1.03 | 0.94 | 0.93 | 0.99 | 1.15 | 1.04 | 1.31 |
| ES | 1.58 | 1.18 | 1.08 | 1.06 | 1.22 | 1.75 | 1.31 | 1.65 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
