Value-at-RiskVaR
0.89
↓
0.007%
from yesterday
Expected ShortfallES
1.08
↓
0.008%
from yesterday
25% Drop Probability25% Drop
1.7%
↓
0.019%
from yesterday
Years Until 25% Drop25% Freq.
57.8years
↑
0.628%
from yesterday
Model RiskModel Risk
2.02
↑
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.13 | 0.94 | 0.56 | 0.75 | 0.83 | 1.12 | 0.89 | 2.02 |
| ES | 1.32 | 1.08 | 0.64 | 0.86 | 1.17 | 1.39 | 1.08 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
