Value-at-RiskVaR
1.04
→
0%
from yesterday
Expected ShortfallES
1.26
→
0%
from yesterday
25% Drop Probability25% Drop
2.2%
↑
0.002%
from yesterday
Years Until 25% Drop25% Freq.
46years
↓
0.042%
from yesterday
Model RiskModel Risk
1.31
↓
0.008%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 1.1 | 0.96 | 1.2 | 1.02 | 1.04 | 1.31 |
| ES | 1.19 | 1.04 | 1.25 | 1.1 | 1.7 | 1.28 | 1.26 | 1.63 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
