Value-at-RiskVaR
1.98Rp
↓
0.009%
from yesterday
Expected ShortfallES
2.6Rp
↓
0.011%
from yesterday
25% Drop Probability25% Drop
4.2%
↓
0.02%
from yesterday
Years Until 25% Drop25% Freq.
23.6years
↑
0.111%
from yesterday
Model RiskModel Risk
1.62
↓
0.061%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.31 | 2.07 | 1.51 | 1.72 | 1.83 | 2.44 | 1.98 | 1.62 |
| ES | 3.64 | 2.37 | 1.73 | 1.97 | 2.28 | 3.59 | 2.6 | 2.11 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
