Value-at-RiskVaR
3.43
↓
0.079%
from yesterday
Expected ShortfallES
4.26
↓
0.096%
from yesterday
25% Drop Probability25% Drop
7.3%
↓
0.184%
from yesterday
Years Until 25% Drop25% Freq.
13.7years
↑
0.335%
from yesterday
Model RiskModel Risk
1.69
↑
0.029%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.01 | 2.63 | 4.45 | 3.66 | 3.89 | 2.93 | 3.43 | 1.69 |
| ES | 3.96 | 3.01 | 5.1 | 4.19 | 4.89 | 4.38 | 4.26 | 1.69 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
