Value-at-RiskVaR
0.94
↓
0.004%
from yesterday
Expected ShortfallES
1.2
↓
0.005%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.008%
from yesterday
Years Until 25% Drop25% Freq.
48.9years
↑
0.191%
from yesterday
Model RiskModel Risk
1.67
↓
0.005%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.21 | 1.02 | 0.73 | 0.74 | 0.81 | 1.15 | 0.94 | 1.67 |
| ES | 1.58 | 1.17 | 0.83 | 0.85 | 0.99 | 1.75 | 1.2 | 2.1 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
