Value-at-RiskVaR
3.21
↓
0.018%
from yesterday
Expected ShortfallES
3.99
↓
0.022%
from yesterday
25% Drop Probability25% Drop
6.8%
↓
0.041%
from yesterday
Years Until 25% Drop25% Freq.
14.6years
↑
0.087%
from yesterday
Model RiskModel Risk
1.48
↓
0.044%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.01 | 2.66 | 3.92 | 3.26 | 3.47 | 2.93 | 3.21 | 1.48 |
| ES | 3.96 | 3.04 | 4.49 | 3.73 | 4.35 | 4.38 | 3.99 | 1.48 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
