Value-at-RiskVaR
6.1
↓
0.234%
from yesterday
Expected ShortfallES
7.59
↓
0.328%
from yesterday
25% Drop Probability25% Drop
13.4%
↓
0.873%
from yesterday
Years Until 25% Drop25% Freq.
7.5years
↑
0.456%
from yesterday
Model RiskModel Risk
3.13
↓
0.579%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.53 | 3.02 | 8.07 | 8.84 | 9.44 | 3.71 | 6.1 | 3.13 |
| ES | 5.07 | 3.46 | 9.25 | 10.13 | 12.72 | 4.89 | 7.59 | 3.68 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
