Value-at-RiskVaR
0.91
↑
0.002%
from yesterday
Expected ShortfallES
1.11
↑
0.002%
from yesterday
25% Drop Probability25% Drop
1.8%
→
0%
from yesterday
Years Until 25% Drop25% Freq.
55.6years
→
0%
from yesterday
Model RiskModel Risk
1.69
↓
0.082%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.13 | 0.93 | 0.67 | 0.77 | 0.88 | 1.1 | 0.91 | 1.69 |
| ES | 1.31 | 1.07 | 0.76 | 0.89 | 1.24 | 1.38 | 1.11 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
