Value-at-RiskVaR
1.02
↓
0.003%
from yesterday
Expected ShortfallES
1.24
↓
0.006%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.025%
from yesterday
Years Until 25% Drop25% Freq.
46.3years
↑
0.53%
from yesterday
Model RiskModel Risk
1.3
↓
0.004%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 0.96 | 0.94 | 1.19 | 1.02 | 1.02 | 1.3 |
| ES | 1.19 | 1.05 | 1.1 | 1.08 | 1.71 | 1.28 | 1.24 | 1.64 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
