Value-at-RiskVaR
1.52
↓
0.018%
from yesterday
Expected ShortfallES
1.7
↓
0.021%
from yesterday
25% Drop Probability25% Drop
2.2%
↓
0.034%
from yesterday
Years Until 25% Drop25% Freq.
46years
↑
0.707%
from yesterday
Model RiskModel Risk
1.09
Max/min VaR ratio
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 1.77 | 1.93 | 1.82 | 1.8 | 0 | 1.78 | 1.52 | 1.09 |
| ES | 1.92 | 2.21 | 2.09 | 2.06 | 0 | 1.9 | 1.7 | 1.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
