Value-at-RiskVaR
1.65
↓
0.03%
from yesterday
Expected ShortfallES
1.84
↓
0.034%
from yesterday
25% Drop Probability25% Drop
2.4%
↓
0.055%
from yesterday
Years Until 25% Drop25% Freq.
41.4years
↑
0.92%
from yesterday
Model RiskModel Risk
1.22
↓
0.045%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.83 | 1.93 | 2.23 | 2.1 | 0 | 1.82 | 1.65 | 1.22 |
| ES | 1.94 | 2.21 | 2.55 | 2.4 | 0 | 1.96 | 1.84 | 1.31 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
