Value-at-RiskVaR
1.64
↓
0.025%
from yesterday
Expected ShortfallES
1.83
↓
0.028%
from yesterday
25% Drop Probability25% Drop
2.4%
↓
0.045%
from yesterday
Years Until 25% Drop25% Freq.
41.7years
↑
0.767%
from yesterday
Model RiskModel Risk
1.21
↓
0.037%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.83 | 1.92 | 2.22 | 2.02 | 0 | 1.83 | 1.64 | 1.21 |
| ES | 1.95 | 2.2 | 2.54 | 2.32 | 0 | 1.97 | 1.83 | 1.3 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
