Value-at-RiskVaR
3.32Rp
↓
0.106%
from yesterday
Expected ShortfallES
4.38Rp
↓
0.128%
from yesterday
25% Drop Probability25% Drop
8.5%
↓
0.24%
from yesterday
Years Until 25% Drop25% Freq.
11.7years
↑
0.321%
from yesterday
Model RiskModel Risk
1.87
↓
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.23 | 2.32 | 4.35 | 3.31 | 3.77 | 2.93 | 3.32 | 1.87 |
| ES | 4.74 | 2.66 | 4.98 | 3.8 | 4.85 | 5.26 | 4.38 | 1.98 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
