Value-at-RiskVaR
1.4
↓
0.015%
from yesterday
Expected ShortfallES
1.56
↓
0.017%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.027%
from yesterday
Years Until 25% Drop25% Freq.
51years
↑
0.694%
from yesterday
Model RiskModel Risk
1.38
↑
0.064%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.77 | 1.91 | 1.38 | 1.56 | 0 | 1.78 | 1.4 | 1.38 |
| ES | 1.92 | 2.19 | 1.58 | 1.79 | 0 | 1.9 | 1.56 | 1.38 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
