Value-at-RiskVaR
3.6Rp
↓
0.085%
from yesterday
Expected ShortfallES
4.71Rp
↓
0.102%
from yesterday
25% Drop Probability25% Drop
9.1%
↓
0.189%
from yesterday
Years Until 25% Drop25% Freq.
11years
↑
0.222%
from yesterday
Model RiskModel Risk
2.06
↓
0.049%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.23 | 2.28 | 4.7 | 3.9 | 4.55 | 2.93 | 3.6 | 2.06 |
| ES | 4.74 | 2.61 | 5.39 | 4.47 | 5.83 | 5.24 | 4.72 | 2.23 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
