Value-at-RiskVaR
3.7
↑
0.348%
from yesterday
Expected ShortfallES
4.59
↑
0.419%
from yesterday
25% Drop Probability25% Drop
7.9%
↑
0.789%
from yesterday
Years Until 25% Drop25% Freq.
12.6years
↓
1.386%
from yesterday
Model RiskModel Risk
1.83
↑
0.185%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.01 | 2.65 | 4.25 | 4.55 | 4.84 | 2.93 | 3.71 | 1.83 |
| ES | 3.96 | 3.03 | 4.87 | 5.21 | 6.09 | 4.38 | 4.59 | 2.01 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
