Value-at-RiskVaR
1.07
↓
0.009%
from yesterday
Expected ShortfallES
1.31
↓
0.011%
from yesterday
25% Drop Probability25% Drop
2.3%
↓
0.023%
from yesterday
Years Until 25% Drop25% Freq.
43.7years
↑
0.434%
from yesterday
Model RiskModel Risk
1.38
↓
0.012%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 1.19 | 0.99 | 1.26 | 1.02 | 1.08 | 1.38 |
| ES | 1.19 | 1.05 | 1.36 | 1.14 | 1.82 | 1.28 | 1.31 | 1.74 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
