Value-at-RiskVaR
3.24Rp
↑
0.002%
from yesterday
Expected ShortfallES
4.3Rp
↓
0.002%
from yesterday
25% Drop Probability25% Drop
8.7%
↓
0.027%
from yesterday
Years Until 25% Drop25% Freq.
11.6years
↑
0.036%
from yesterday
Model RiskModel Risk
1.61
↓
0.039%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.33 | 2.35 | 3.77 | 3.23 | 3.7 | 3.04 | 3.24 | 1.61 |
| ES | 4.76 | 2.69 | 4.32 | 3.7 | 4.8 | 5.56 | 4.3 | 2.07 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
