Value-at-RiskVaR
3.14
↓
0.048%
from yesterday
Expected ShortfallES
3.91
↓
0.057%
from yesterday
25% Drop Probability25% Drop
6.7%
↓
0.102%
from yesterday
Years Until 25% Drop25% Freq.
14.9years
↑
0.223%
from yesterday
Model RiskModel Risk
1.43
↓
0.002%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.01 | 2.64 | 3.76 | 3.22 | 3.4 | 2.83 | 3.14 | 1.43 |
| ES | 3.87 | 3.02 | 4.31 | 3.69 | 4.28 | 4.25 | 3.91 | 1.43 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
