Value-at-RiskVaR
1.41
↓
0.008%
from yesterday
Expected ShortfallES
1.56
↓
0.01%
from yesterday
25% Drop Probability25% Drop
2%
↓
0.015%
from yesterday
Years Until 25% Drop25% Freq.
50.8years
↑
0.384%
from yesterday
Model RiskModel Risk
1.42
↑
0.04%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.83 | 1.91 | 1.34 | 1.52 | 0 | 1.83 | 1.41 | 1.42 |
| ES | 1.95 | 2.19 | 1.54 | 1.74 | 0 | 1.97 | 1.56 | 1.42 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
