Value-at-RiskVaR
0.99
↑
0.014%
from yesterday
Expected ShortfallES
1.2
↑
0.018%
from yesterday
25% Drop Probability25% Drop
2%
↑
0.043%
from yesterday
Years Until 25% Drop25% Freq.
49.3years
↓
1.067%
from yesterday
Model RiskModel Risk
1.23
↑
0.028%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 0.92 | 0.92 | 1.12 | 1.02 | 0.99 | 1.23 |
| ES | 1.19 | 1.04 | 1.05 | 1.05 | 1.58 | 1.28 | 1.2 | 1.52 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
