Value-at-RiskVaR
3.36Rp
↓
0.084%
from yesterday
Expected ShortfallES
4.47Rp
↓
0.101%
from yesterday
25% Drop Probability25% Drop
9.2%
↓
0.194%
from yesterday
Years Until 25% Drop25% Freq.
10.9years
↑
0.226%
from yesterday
Model RiskModel Risk
1.62
↓
0.098%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.43 | 2.39 | 3.85 | 3.44 | 3.86 | 3.18 | 3.36 | 1.62 |
| ES | 4.8 | 2.73 | 4.41 | 3.94 | 5.02 | 5.9 | 4.47 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
