Value-at-RiskVaR
3.02Rp
↓
0.024%
from yesterday
Expected ShortfallES
4.04Rp
↓
0.028%
from yesterday
25% Drop Probability25% Drop
8.1%
↓
0.047%
from yesterday
Years Until 25% Drop25% Freq.
12.3years
↑
0.071%
from yesterday
Model RiskModel Risk
1.51
↓
0.041%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.33 | 2.34 | 3.52 | 2.8 | 3.14 | 3 | 3.02 | 1.51 |
| ES | 4.76 | 2.68 | 4.03 | 3.2 | 4.07 | 5.49 | 4.04 | 2.05 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
