Value-at-RiskVaR
4.13
↓
0.06%
from yesterday
Expected ShortfallES
5.12
↓
0.072%
from yesterday
25% Drop Probability25% Drop
8.3%
↓
0.129%
from yesterday
Years Until 25% Drop25% Freq.
12years
↑
0.184%
from yesterday
Model RiskModel Risk
2.16
↓
0.047%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 3.64 | 3.04 | 6.56 | 3.89 | 3.88 | 3.76 | 4.13 | 2.16 |
| ES | 5.12 | 3.49 | 7.51 | 4.46 | 5.21 | 4.94 | 5.12 | 2.16 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
