Value-at-RiskVaR
2.02Rp
↑
0.03%
from yesterday
Expected ShortfallES
2.63Rp
↑
0.037%
from yesterday
25% Drop Probability25% Drop
4.3%
↑
0.068%
from yesterday
Years Until 25% Drop25% Freq.
23.4years
↓
0.379%
from yesterday
Model RiskModel Risk
1.45
↓
0.11%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.31 | 2.07 | 1.77 | 1.69 | 1.8 | 2.45 | 2.02 | 1.45 |
| ES | 3.64 | 2.38 | 2.03 | 1.94 | 2.25 | 3.57 | 2.63 | 1.88 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
