Value-at-RiskVaR
1.06
↓
0.007%
from yesterday
Expected ShortfallES
1.35
↓
0.008%
from yesterday
25% Drop Probability25% Drop
2.4%
↓
0.016%
from yesterday
Years Until 25% Drop25% Freq.
42years
↑
0.28%
from yesterday
Model RiskModel Risk
1.34
↑
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.25 | 1.05 | 0.94 | 0.93 | 1 | 1.19 | 1.06 | 1.34 |
| ES | 1.65 | 1.2 | 1.08 | 1.07 | 1.24 | 1.86 | 1.35 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
