Value-at-RiskVaR
1.5
↓
0.019%
from yesterday
Expected ShortfallES
1.69
↓
0.021%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.035%
from yesterday
Years Until 25% Drop25% Freq.
45.9years
↑
0.727%
from yesterday
Model RiskModel Risk
1.12
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.74 | 1.95 | 1.76 | 1.81 | 0 | 1.76 | 1.5 | 1.12 |
| ES | 1.9 | 2.23 | 2.01 | 2.07 | 0 | 1.89 | 1.69 | 1.18 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
