Value-at-RiskVaR
0.97
↓
0.007%
from yesterday
Expected ShortfallES
1.19
↓
0.01%
from yesterday
25% Drop Probability25% Drop
2.1%
↓
0.03%
from yesterday
Years Until 25% Drop25% Freq.
47.7years
↑
0.673%
from yesterday
Model RiskModel Risk
1.33
↑
0.02%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.07 | 0.91 | 0.83 | 0.9 | 1.11 | 1.01 | 0.97 | 1.33 |
| ES | 1.19 | 1.04 | 0.95 | 1.03 | 1.6 | 1.31 | 1.19 | 1.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
