Value-at-RiskVaR
3.77Rp
↓
0.07%
from yesterday
Expected ShortfallES
4.98Rp
↓
0.096%
from yesterday
25% Drop Probability25% Drop
9.3%
↓
0.274%
from yesterday
Years Until 25% Drop25% Freq.
10.7years
↑
0.306%
from yesterday
Model RiskModel Risk
2.59
↓
0.08%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 2.44 | 2.19 | 4.91 | 4.77 | 5.65 | 2.68 | 3.77 | 2.59 |
| ES | 4.44 | 2.51 | 5.62 | 5.47 | 7.24 | 4.6 | 4.98 | 2.89 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
