Value-at-RiskVaR
0.94
↓
0.007%
from yesterday
Expected ShortfallES
1.15
↓
0.009%
from yesterday
25% Drop Probability25% Drop
1.8%
↓
0.02%
from yesterday
Years Until 25% Drop25% Freq.
54.1years
↑
0.579%
from yesterday
Model RiskModel Risk
1.68
↑
0.048%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.13 | 0.96 | 0.69 | 0.8 | 0.91 | 1.15 | 0.94 | 1.68 |
| ES | 1.4 | 1.1 | 0.79 | 0.92 | 1.27 | 1.44 | 1.15 | 1.83 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
