Value-at-RiskVaR
1.32
↓
0.006%
from yesterday
Expected ShortfallES
1.47
↓
0.006%
from yesterday
25% Drop Probability25% Drop
1.8%
↓
0.009%
from yesterday
Years Until 25% Drop25% Freq.
55.1years
↑
0.272%
from yesterday
Model RiskModel Risk
2.03
↑
0.055%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.83 | 1.9 | 0.94 | 1.43 | 0 | 1.83 | 1.32 | 2.03 |
| ES | 1.95 | 2.17 | 1.07 | 1.64 | 0 | 1.97 | 1.47 | 2.03 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
