Value-at-RiskVaR
3.11
↑
0.082%
from yesterday
Expected ShortfallES
3.85
↑
0.096%
from yesterday
25% Drop Probability25% Drop
6.5%
↑
0.165%
from yesterday
Years Until 25% Drop25% Freq.
15.4years
↓
0.402%
from yesterday
Model RiskModel Risk
1.34
↑
0.059%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.01 | 2.63 | 3.33 | 3.29 | 3.51 | 2.89 | 3.11 | 1.34 |
| ES | 3.87 | 3.01 | 3.82 | 3.77 | 4.44 | 4.17 | 3.85 | 1.47 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
