Value-at-RiskVaR
2.91Rp
↓
0.134%
from yesterday
Expected ShortfallES
3.93Rp
↓
0.163%
from yesterday
25% Drop Probability25% Drop
7.3%
↓
0.312%
from yesterday
Years Until 25% Drop25% Freq.
13.7years
↑
0.558%
from yesterday
Model RiskModel Risk
1.94
↓
0.054%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.44 | 2.2 | 4.26 | 2.77 | 3.12 | 2.68 | 2.91 | 1.94 |
| ES | 4.44 | 2.51 | 4.88 | 3.17 | 4 | 4.6 | 3.93 | 1.94 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
