Value-at-RiskVaR
0.96
↓
0.005%
from yesterday
Expected ShortfallES
1.17
↓
0.007%
from yesterday
25% Drop Probability25% Drop
2.1%
↓
0.023%
from yesterday
Years Until 25% Drop25% Freq.
48.8years
↑
0.541%
from yesterday
Model RiskModel Risk
1.41
↓
0.007%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 0.78 | 0.89 | 1.1 | 1.02 | 0.96 | 1.41 |
| ES | 1.19 | 1.04 | 0.89 | 1.02 | 1.61 | 1.27 | 1.17 | 1.81 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
