Value-at-RiskVaR
0.92
↓
0.013%
from yesterday
Expected ShortfallES
1.16
↓
0.02%
from yesterday
25% Drop Probability25% Drop
1.9%
↓
0.07%
from yesterday
Years Until 25% Drop25% Freq.
51.5years
↑
1.793%
from yesterday
Model RiskModel Risk
1.82
↑
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.21 | 1.02 | 0.67 | 0.7 | 0.76 | 1.14 | 0.92 | 1.82 |
| ES | 1.58 | 1.16 | 0.77 | 0.8 | 0.93 | 1.71 | 1.16 | 2.23 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
