Value-at-RiskVaR
4.68
↓
0.296%
from yesterday
Expected ShortfallES
5.82
↓
0.363%
from yesterday
25% Drop Probability25% Drop
9.7%
↓
0.717%
from yesterday
Years Until 25% Drop25% Freq.
10.3years
↑
0.703%
from yesterday
Model RiskModel Risk
2.37
↓
0.03%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.53 | 2.95 | 6.98 | 5.28 | 5.64 | 3.71 | 4.68 | 2.37 |
| ES | 5.07 | 3.38 | 8 | 6.05 | 7.53 | 4.89 | 5.82 | 2.37 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
